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Robust inference in a linear functional model with replications using the t distribution

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  • Galea, Manuel
  • de Castro, Mário

Abstract

In this paper, we investigate model assessment, estimation and hypothesis testing in a linear functional relationship for replicated data when the distribution of the measurement errors is a multivariate Student t distribution. For statistical inference, we adopt the unbiased estimating equations approach. The resulting estimator is consistent and asymptotically normal; a closed form expression is also given for its asymptotic covariance matrix. A simple graphical device for model checking is proposed. We also describe how to test some hypotheses of interest on the parameter vector using the Wald statistic. A simulation study is performed to gauge the performance of the estimators and of the Wald statistic. The methodology developed in the paper is illustrated with a real data set.

Suggested Citation

  • Galea, Manuel & de Castro, Mário, 2017. "Robust inference in a linear functional model with replications using the t distribution," Journal of Multivariate Analysis, Elsevier, vol. 160(C), pages 134-145.
    • Handle: RePEc:eee:jmvana:v:160:y:2017:i:c:p:134-145
    DOI: 10.1016/j.jmva.2017.06.008
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