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Produktbild: Statistical Inference for Models with Multivariate t-Distributed Errors

Statistical Inference for Models with Multivariate t-Distributed Errors

142,99 €

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Beschreibung

Produktdetails

Einband

Gebundene Ausgabe

Erscheinungsdatum

15.09.2014

Verlag

John Wiley & Sons Inc

Seitenzahl

272

Maße (L/B/H)

23,6/15,7/1,8 cm

Gewicht

499 g

Auflage

1. Auflage

Sprache

Englisch

ISBN

978-1-118-85405-1

Beschreibung

Produktdetails

Einband

Gebundene Ausgabe

Erscheinungsdatum

15.09.2014

Verlag

John Wiley & Sons Inc

Seitenzahl

272

Maße (L/B/H)

23,6/15,7/1,8 cm

Gewicht

499 g

Auflage

1. Auflage

Sprache

Englisch

ISBN

978-1-118-85405-1

Herstelleradresse

Libri GmbH
Europaallee 1
36244 Bad Hersfeld
DE

Email: gpsr@libri.de

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  • Produktbild: Statistical Inference for Models with Multivariate t-Distributed Errors

  • List of Figures xv

    List of Tables xvii

    Preface xix

    Glossary xxi

    List of Symbols xxiii

    1 Introduction 1

    1.1 Objective of the Book 1

    1.2 Models Under Consideration 3

    2 Preliminaries 7

    2.1 Normal distribution 8

    2.2 Chisquare distribution 8

    2.3 Student's t distributions 10

    2.4 F distribution 14

    2.5 Multivariate Normal distribution 16

    2.6 Multivariate t distribution 17

    2.7 Problems 28

    3 Location Model 31

    3.1 Model Specification 32

    3.2 Unbiased Estimates of _ and _2 and test of hypothesis 32

    3.3 Estimators 36

    3.4 Bias and MSE Expressions of the Location Estimators 38

    3.5 Various Estimates of Variance 48

    3.6 Problems 60

    4 Simple Regression Model 61

    4.1 Introduction 62

    4.2 Estimation and Testing of _ 62

    4.3 Properties of Intercept Parameter 66

    4.4 Comparison 69

    4.5 Numerical Illustration 72

    4.6 Problems 77

    5 ANOVA 79

    5.1 Model Specification 80

    5.2 Proposed Estimators and Testing 80

    5.3 Bias, MSE and Risk Expressions 85

    5.4 Risk Analysis 87

    5.5 Problems 93

    6 Parallelism Model 95

    6.1 Model Specification 96

    6.2 Estimation of the Parameters and Test of Parallelism 97

    6.3 Bias, MSE, and Risk Expressions 103

    6.4 Risk Analysis 106

    6.5 Problems 110

    7 Multiple Regression Model 111

    7.1 Model Specification 112

    7.2 Shrinkage Estimators and Testing 112

    7.3 Bias and Risk Expressions 116

    7.4 Comparison 120

    7.5 Problems 126

    8 Ridge Regression 127

    8.1 Model Specification 128

    8.2 Proposed Estimators 129

    8.3 Bias, MSE, and Risk Expressions 130

    8.4 Performance of the Estimators 135

    8.5 Choice of Ridge Parameter 153

    8.6 Problems 164

    9 Multivariate Models 165

    9.1 Location Model 166

    9.2 Testing of Hypothesis and Several Estimators of Local Parameter 167

    9.3 Bias, Quadratic Bias, MSE, and Risk Expressions 169

    9.4 Risk Analysis of the Estimators 171

    9.5 Simple Multivariate Linear Model 175

    9.6 Problems 180

    10 Bayesian Analysis 181

    10.1 Introduction (Zellner's Model) 181

    10.2 Conditional Bayesian Inference 183

    10.3 Matrix Variate t Distribution 185

    10.4 Bayesian Analysis in Multivariate Regression Model 187

    10.5 Problems 194

    11 Linear Prediction Models 195

    11.1 Model & Preliminaries 196

    11.2 Distribution of SRV and RSS 197

    11.3 Regression Model for Future Responses 199

    11.4 Predictive Distributions of FRV and FRSS 200

    11.5 An Illustration 206

    11.6 Problems 208

    12 Stein Estimation 209

    12.1 Class of Estimators 210

    12.2 Preliminaries and Some Theorems 213

    12.3 Superiority Conditions 216

    12.4 Problems 223

    References 225

    Subject Index 243