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Constrained test in linear models with multivariate power exponential distribution

Author

Listed:
  • Jeremias Leão

    (Universidade Federal do Amazonas)

  • Francisco Cysneiros

    (Universidade Federal de Pernambuco)

  • Helton Saulo

    (Universidade Federal de Goiás
    McMaster University)

  • N. Balakrishnan

    (McMaster University)

Abstract

We investigate the problem of testing equality and inequality constraints on regression coefficients in linear models with multivariate power exponential (MPE) distribution. This distribution has received considerable attention in recent years and provides a useful generalization of the multivariate normal distribution. We examine the performance of the power of the likelihood ratio, Wald and Score tests for grouped data and in the presence of regressors, in small and moderate sample sizes, using Monte Carlo simulations. Additionally, we present a real example to illustrate the performance of the proposed tests under the MPE model.

Suggested Citation

  • Jeremias Leão & Francisco Cysneiros & Helton Saulo & N. Balakrishnan, 2016. "Constrained test in linear models with multivariate power exponential distribution," Computational Statistics, Springer, vol. 31(4), pages 1569-1592, December.
    • Handle: RePEc:spr:compst:v:31:y:2016:i:4:d:10.1007_s00180-016-0650-x
    DOI: 10.1007/s00180-016-0650-x
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    References listed on IDEAS

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    1. Lindsey, J.K. & Lindsey, P.J., 2006. "Multivariate distributions with correlation matrices for nonlinear repeated measurements," Computational Statistics & Data Analysis, Elsevier, vol. 50(3), pages 720-732, February.
    2. Neto, Jose Cardoso & Paula, Gilberto A., 2001. "Wald one-sided test using generalized estimating equations approach," Computational Statistics & Data Analysis, Elsevier, vol. 36(4), pages 475-495, June.
    3. Kodde, David A & Palm, Franz C, 1986. "Wald Criteria for Jointly Testing Equality and Inequality Restriction s," Econometrica, Econometric Society, vol. 54(5), pages 1243-1248, September.
    4. Guogen Shan & Daniel Young & Le Kang, 2014. "A New Powerful Nonparametric Rank Test for Ordered Alternative Problem," PLOS ONE, Public Library of Science, vol. 9(11), pages 1-10, November.
    5. J. K. Lindsey, 1999. "Multivariate Elliptically Contoured Distributions for Repeated Measurements," Biometrics, The International Biometric Society, vol. 55(4), pages 1277-1280, December.
    6. Hubert, M. & Vandervieren, E., 2008. "An adjusted boxplot for skewed distributions," Computational Statistics & Data Analysis, Elsevier, vol. 52(12), pages 5186-5201, August.
    7. Cysneiros, Francisco Jose A. & Paula, Gilberto A., 2005. "Restricted methods in symmetrical linear regression models," Computational Statistics & Data Analysis, Elsevier, vol. 49(3), pages 689-708, June.
    8. Hans Nyquist, 1991. "Restricted Estimation of Generalized Linear Models," Journal of the Royal Statistical Society Series C, Royal Statistical Society, vol. 40(1), pages 133-141, March.
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    Cited by:

    1. Lizandra C. Fabio & Francisco J. A. Cysneiros & Gilberto A. Paula & Jalmar M. F. Carrasco, 2022. "Hierarchical and multivariate regression models to fit correlated asymmetric positive continuous outcomes," Computational Statistics, Springer, vol. 37(3), pages 1435-1459, July.

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