Accession Number:

ADA125044

Title:

Robustness Properties of the F-Test and Best Linear Unbiased Estimators in Linear Models.

Descriptive Note:

Technical rept.,

Corporate Author:

PITTSBURGH UNIV PA CENTER FOR MULTIVARIATE ANALYSIS

Personal Author(s):

Report Date:

1982-11-01

Pagination or Media Count:

16.0

Abstract:

Document considers a linear model Y X beta sigma epsilon, Eepsilon O, Eepsilon prime I sub n with beta, sigma unknown. For the problem of testing the linear hypothesis C beta sigma imC prime a subset of imX prime, Ghosh and Sinha 1980 proved that the properties of the usual F-test being LRT and UMPI under a suitable group a transformations remain valid for specific non-normal families. In this paper it is shown that both criterion and inference robustness of the F-test hold under the assumption epsilon about qepsilon prime, q convex and isotonic. This result is similar to a robustness property of Hotellings T squared-test proved by Kariya 1981. Finally it is proved that the Best Linear Unbiased Estimator BLUE of any estimable function beta is more concentrated around C beta than any other unbiased estimator of C beta under the assumption that epsilon is spherically distributed.

Subject Categories:

  • Statistics and Probability

Distribution Statement:

APPROVED FOR PUBLIC RELEASE