Inference for Multiple Linear Regression Model with Extended Skew Normal Errors.

ALHAMIDE  A. A; KAMARULZAMAN IBRAHIM; ALODAT M.T; WAN ZAWIAH WAN ZIN

Author(s)

ALHAMIDE A. A Statistics Program, School of Mathematical Sciences, Faculty of Science and Technology, Universiti Kebangsaan Malaysia, Malaysia

KAMARULZAMAN IBRAHIM Statistics Program, School of Mathematical Sciences, Faculty of Science and Technology, Universiti Kebangsaan Malaysia, Malaysia

ALODAT M.T Department of Mathematics, Statistics and Physics, Qatar University, Qatar

WAN ZAWIAH WAN ZIN Pusat Pengajian Sains Matematik Fakulti Sains dan Teknologi Universiti Kebangsaan Malaysia 43600 UKM Bangi, Selangor Darul Ehsan Malaysia

Abstract

This paper presents the estimation of the parameters of the multiple linear regression model when errors are assumed to follow the independent extended skew normal distribution. The estimators of the regression parameters are determined using the maximum likelihood and least squares methods. In addition, the asymptotic distributions of the estimators are studied. The properties of the estimators under both approaches are compared based on a simulation study and a real data set is applied for illustration.

Publication Details

Page(s) 81-96

DOI DOI not available

Published Journal: Pakistan Journal of Statistics, Volume: 32, Issue: 2, Year: 2016

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