PRE-TEST ESTIMATORS OF THE INTERCEPT FOR A REGRESSION MODEL WITH MULTIVARIATE STUDENT-t ERRORS
نویسنده
چکیده
In presence of an uncertain prior information about the slope parameter, the estimation of the intercept of a simple regression model with a multivariate Studentt error distribution is investigated. The unrestricted, restricted and preliminary test maximum likelihood estimators are defined. The expressions for the bias and the mean square error of the three estimators are provided and the relative efficiencies are analysed. A maximin criterion is established, and graphs and tables are constructed for different number of degrees of freedom (D.F.) as well as sample sizes. These tables of relative efficiencies can be used to determine a proper choice of the significance level of the preliminary test which in turn determines the choice of the estimator.
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