Can I read T-distribution Modeling Using the Available Statistical Software on EtoBox?

T-distribution Modeling Using the Available Statistical Software by Mortaza Jamshidian is a Mathematics article available to read on EtoBox.

What is T-distribution Modeling Using the Available Statistical Software about?

Statistical inference based on the t-distribution is less vulnerable to outliers when compared to the normal distribution. A number of authors have discussed and proposed algorithms for maximum likelihood (ML) estimation of the t-distribution. These algorithms generally require special code, to date, not available in commonly used statistical software. In this paper we discuss the use of the available statistical software for ML estimation of the t-distribution. More specifically, we discuss utilization of BMDP-LE and SAS-NLIN programs for linear and nonlinear regression with t errors. BMDP-LE program instructions require specification of the t density. The problem is that the t density involves the gamma function which is not available in the BMDP function library. We make use of the available functions in BMDP-LE to specify the t density. We show how SAS-NLIN can be used to implement a previously proposed iteratively reweighted least-squares algorithm. We also propose a direct method of using SAS-NLIN for regression estimation with t errors. The SAS-NLIN methods discussed may be implemented in any nonlinear regression program which allows iterative reweighting. The advantages and

Who reads T-distribution Modeling Using the Available Statistical Software?

Author

Mortaza Jamshidian

Publisher

Elsevier Science; Elsevier ; Elsevier BV (ISSN 0167-9473)

Published

1997

Language

EN

Field

Mathematics (Physical Sciences)