Estimation of the parameters of a regression model with a multivariate t error variable

1 January 1986

journal article
research article
Published by Taylor & Francis in Communications in Statistics - Theory and Methods

Vol. 15 (2) , 429-450
https://doi.org/10.1080/03610928608829130

Abstract

This paper deals with a regression model for several vari¬ables under the assumption that the errors have a multivariate t-distribution. The parameters of the model, the regression parameters, as well as the scale parameters and the degress of freedom of the error variable are estimated and the estimation procedure is illustrated by a numerical example, Also, the prop¬erties of the estimators and tests for the regression parameters are discussed.

Keywords

This publication has 3 references indexed in Scilit:

Bayesian and Non-Bayesian Analysis of the Regression Model with Multivariate Student-t Error Terms
Journal of the American Statistical Association, 1976
The Behavior of Stock-Market Prices
The Journal of Business, 1965
A BIVARIATE GENERALIZATION OF STUDENT'S t-DISTRIBUTION, WITH TABLES FOR CERTAIN SPECIAL CASES
Biometrika, 1954