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The distribution of the residual from a general elliptical multivariate linear model

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  • Díaz-García, José A.
  • Gutiérrez-Jáimez, Ramón
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    Abstract

    Given a general multivariate linear model of full or less than full rank, we find the distributions of internally and externally studentised residuals, assuming normal and elliptical distributions.

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    Bibliographic Info

    Article provided by Elsevier in its journal Journal of Multivariate Analysis.

    Volume (Year): 97 (2006)
    Issue (Month): 8 (September)
    Pages: 1829-1841

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    Handle: RePEc:eee:jmvana:v:97:y:2006:i:8:p:1829-1841

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    Related research

    Keywords: Residual Studentised residual Pearson type II distribution Matrix-variate t distribution Elliptical distribution Singular distribution Matricvariate t distribution;

    References

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    1. Díaz-García, José A. & Jáimez, Ramón Gutierrez & Mardia, Kanti V., 1997. "Wishart and Pseudo-Wishart Distributions and Some Applications to Shape Theory," Journal of Multivariate Analysis, Elsevier, vol. 63(1), pages 73-87, October.
    2. Díaz-García, José A. & González-Farías, Graciela, 2005. "Singular random matrix decompositions: Jacobians," Journal of Multivariate Analysis, Elsevier, vol. 93(2), pages 296-312, April.
    3. Kotz,Samuel & Nadarajah,Saralees, 2004. "Multivariate T-Distributions and Their Applications," Cambridge Books, Cambridge University Press, number 9780521826549, April.
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