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A generalized class of estimators in linear regression models with multivariate-t distributed error

Author

Listed:
  • Karan Singh, R.
  • Misra, Sheela
  • Pandey, S. K.

Abstract

A generalized estimator representing a class of estimators is proposed for the estimation of regression coefficients in the linear regression model when the error components have the joint multivariate Student-t distribution. Approximate expressions for the bias and the risk of the proposed generalized estimator under a general quadratic loss function are found and a comparative study among some of the estimators of the class is made. A generalized efficiency (dominance) condition of the class over the usual minimum variance unbiased estimator (MVUE) is also given.

Suggested Citation

  • Karan Singh, R. & Misra, Sheela & Pandey, S. K., 1995. "A generalized class of estimators in linear regression models with multivariate-t distributed error," Statistics & Probability Letters, Elsevier, vol. 23(2), pages 171-178, May.
    • Handle: RePEc:eee:stapro:v:23:y:1995:i:2:p:171-178
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