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Ekonomi Bölümü

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Browsing Ekonomi Bölümü by Journal "Communications in Statistics-Theory and Methods"

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    Article
    Citation Count: Islam, M. Q.; Tiku, M. L. (2004). "Multiple linear regression model under nonnormality", Communications in Statistics-Theory and Methods, Vol. 33, No. 10, pp. 2443-2467
    Multiple linear regression model under nonnormality
    (2004) Islam, M. Q.; Tiku, M. L.
    We consider multiple linear regression models under nonnormality. We derive modified maximum likelihood estimators (MMLEs) of the parameters and show that they are efficient and robust. We show that the least squares esimators are considerably less efficient. We compare the efficiencies of the MMLEs and the M estimators for symmetric distributions and show that, for plausible alternatives to an assumed distribution, the former are more efficient. We provide real-life examples.
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    Article
    Citation Count: Tiku, ML; Islam, MQ; Selcuk, AS, "Nonnormal regression. II. Symmetric distributions", Communications in Statistics-Theory and Methods, Vol. 30, No. 6, pp. 1021-1045, (2001).
    Nonnormal regression. II. Symmetric distributions
    (Taylor&Francis INC, 2001) Tiku, M. L.; Islam, M. Qamarul; Selçuk, A. S.
    Salient features of a family of short-tailed symmetric distributions, introduced recently by Tiku and Vaughan [1], are enunciated. Assuming the error distribution to be one of this family, the methodology of modified likelihood is used to derive MML estimators of parameters in a linear regression model. The estimators are shown to be efficient, and robust to inliers. This paper is essentially the first to achieve robustness to infers. The methodology is extended to long-tailed symmetric distributions and the resulting estimators are shown to be efficient, and robust to outliers. This paper should be read in conjunction with Islam et al. [2] who develop modified likelihood methodology for skew distributions in the context of linear regression.