Inconsistency of estimate of the degree of freedom of multivariate Student-\(t\) disturbances in linear regression models

DOI10.1016/S0165-1765(03)00117-4zbMath1263.62102OpenAlexW2056904836MaRDI QIDQ1927360

Wai-Cheung Ip, Song-Gui Wang

Publication date: 1 January 2013

Published in: Economics Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/s0165-1765(03)00117-4

zbMATH Keywords

characteristic functionvarianceChebychev's inequality

Mathematics Subject Classification ID

Estimation in multivariate analysis (62H12) Linear regression; mixed models (62J05)

Related Items

Objective Bayesian analysis for the Student-\(t\) linear regression

Cites Work

• Estimation of error variance in linear regression models with errors having multivariate Student-\(t\) distribution with unknown degrees of freedom
• Pre-testing for linear restrictions in a regression model with spherically symmetric disturbances
• Estimation of the parameters of a regression model with a multivariate t error variable
• JAMES-STEIN RULE ESTIMATORS IN LINEAR REGRESSION MODELS WITH MULTIVARIATE-t DISTRIBUTED ERROR
• Bayesian and Non-Bayesian Analysis of the Regression Model with Multivariate Student-t Error Terms
• Stein type confidence interval of the disturbance variance in a linear regression model with multivariate student-t distributed errors
• A further look at robustness via Bayes's theorem
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