Testing inequality constraints in a linear regression model with spherically symmetric disturbances

doi:10.1007/s11424-014-1150-0

科研成果详情

题名	Testing inequality constraints in a linear regression model with spherically symmetric disturbances
作者	Zhu, Rong 1,2; Zhou, Sherry Zhefang1,2
发表日期	2014-11-30
发表期刊	Journal of Systems Science and Complexity
ISSN/eISSN	1009-6124
卷号	27 期号:6 页码:1204-1212
摘要	This paper develops a Wald statistic for testing the validity of multivariate inequality constraints in linear regression models with spherically symmetric disturbances, and derive the distributions of the test statistic under null and nonnull hypotheses. The power of the test is then discussed. Numerical evaluations are also carried out to examine the power performances of the test for the case in which errors follow a multivariate student-t (Mt) distribution.
关键词	Inequality constraint spherically symmetric distribution Wald test
DOI	10.1007/s11424-014-1150-0
URL	查看来源
收录类别	SCIE
语种	英语English
WOS研究方向	Mathematics
WOS类目	Mathematics, Interdisciplinary Applications
WOS记录号	WOS:000345627000008
Scopus入藏号	2-s2.0-84912558516
引用统计
文献类型	期刊论文
条目标识符	https://repository.uic.edu.cn/handle/39GCC9TT/7752
专题	个人在本单位外知识产出
通讯作者	Zhu, Rong
作者单位	1.Academy of Mathematics and Systems Science,Chinese Academy of Sciences,Beijing,100190,China 2.Department of Management Sciences,City University of Hong Kong,Kowloon, Hong Kong,Hong Kong
推荐引用方式 GB/T 7714	Zhu, Rong,Zhou, Sherry Zhefang. Testing inequality constraints in a linear regression model with spherically symmetric disturbances[J]. Journal of Systems Science and Complexity, 2014, 27(6): 1204-1212.
APA	Zhu, Rong, & Zhou, Sherry Zhefang. (2014). Testing inequality constraints in a linear regression model with spherically symmetric disturbances. Journal of Systems Science and Complexity, 27(6), 1204-1212.
MLA	Zhu, Rong,et al."Testing inequality constraints in a linear regression model with spherically symmetric disturbances". Journal of Systems Science and Complexity 27.6(2014): 1204-1212.