Nonnormal regression. I. Skew distributions


Islam M. , Tiku M., Yildirim F.

COMMUNICATIONS IN STATISTICS-THEORY AND METHODS, cilt.30, ss.993-1020, 2001 (SCI İndekslerine Giren Dergi) identifier identifier

  • Cilt numarası: 30 Konu: 6
  • Basım Tarihi: 2001
  • Doi Numarası: 10.1081/sta-100104347
  • Dergi Adı: COMMUNICATIONS IN STATISTICS-THEORY AND METHODS
  • Sayfa Sayıları: ss.993-1020

Özet

In a linear regression model of the type y = thetaX + e, it is often assumed that the random error e is normally distributed. In numerous situations, e.g., when y measures life times or reaction times, e typically has a skew distribution. We consider two important families of skew distributions, (a) Weibull with support IR: (0, infinity) on the real line, and (b) generalised logistic with support IR: (-infinity, infinity). Since the maximum likelihood estimators are intractable in these situations, we derive modified likelihood estimators which have explicit algebraic forms and are, therefore, easy to compute. We show that these estimators are remarkably efficient, and robust. We develop hypothesis testing procedures and give a real life example.