Inferences from Asymmetric Multivariate Exponential Power Distribution
A. T. Soyinka () and
A. A. Olosunde ()
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A. T. Soyinka: Federal University of Agriculture Alabata
A. A. Olosunde: Obafemi Awolowo University
Sankhya B: The Indian Journal of Statistics, 2021, vol. 83, issue 2, No 7, 350-370
Abstract In this paper, we develop the asymptotic distribution of the covariance structure of an asymmetric multivariate exponential power distribution (AMEPD) by extending the existing Hotelling t2 distribution to its generalized form. The obtained results ‘generalised Hotelling t2 test statistic’, accommodates for the existing Mahalanobis distance between two multivariate data sets. The hazard rate and the characteristics function of the desired test statistics are established. The study further establishes the test of hypothesis and simultaneous confidence interval for the population mean vectors of p th attributes from AMEPD by using the Neymar-Pearson lemma and Pivotal quantity approaches. The obtained results, which are dependent on shape parameter flexibility and skewness parameter, generalize the test of hypothesis and simultaneous confidence intervals of various distributions which are members of the exponential power family. Simulated and real life data were used to demonstrate the usefulness of the obtained results.
Keywords: Generalized Hotelling t 2; Test statistics; Bonferroni interval; Mean vector; Asymmetry; Primary 60E05; Secondary 62F25 (search for similar items in EconPapers)
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