Linear Models

Arjun K. Gupta, Tamas Varga and Taras Bodnar
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Arjun K. Gupta: Bowling Green State University, Department of Mathematics and Statistics
Tamas Varga: Damjanich
Taras Bodnar: Humboldt-University of Berlin, Department of Mathematics

Chapter Chapter 9 in Elliptically Contoured Models in Statistics and Portfolio Theory, 2013, pp 219-236 from Springer

Abstract: Abstract In this chapter, we consider the estimation of the parameters in the multivariatelinear regression model with matrix variate elliptically contoured distributed errors. The distribution of the maximum likelihood estimator is derived as well as the test theory forthe model parameters is developed. The inference procedures for the random effects model under matrix variate elliptically contoured distributions are presented as well.

Keywords: Largest Root Test; Trace Criterion; Multivariate Linear Regression Model; Schur-convex Functions; Linear Unbiased Estimator (search for similar items in EconPapers)
Date: 2013
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Persistent link: https://EconPapers.repec.org/RePEc:spr:sprchp:978-1-4614-8154-6_9

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DOI: 10.1007/978-1-4614-8154-6_9

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