Predictive Inference for the Elliptical Linear Model Article

Kibria, BMG, Haq, MS. (1999). Predictive Inference for the Elliptical Linear Model . JOURNAL OF MULTIVARIATE ANALYSIS, 68(2), 235-249. 10.1006/jmva.1998.1792

cited authors

  • Kibria, BMG; Haq, MS

authors

abstract

  • This paper derives the prediction distribution of future responses from the linear model with errors having an elliptical distribution with known covariance parameters. For unknown covariance parameters, the marginal likelihood function of the parameters has been obtained and the prediction distribution has been modified by replacing the covariance parameters by their estimates obtained from the marginal likelihood function. It is observed that the prediction distribution with elliptical error has a multivariate Student'st-distribution with appropriate degrees of freedom. The results for some special cases such as the Intra-class correlation model, AR(1), MA(1), and ARMA(1,1) models have been obtained from the general results. As an application, theβ-expectation tolerance region has been constructed. An example has been added. © 1999 Academic Press.

publication date

  • February 1, 1999

published in

Digital Object Identifier (DOI)

start page

  • 235

end page

  • 249

volume

  • 68

issue

  • 2