normalp (version 0.7.2.1)

simul.lmp: Simulation planning for a linear regression model with errors distributed as an exponential power distribution

Description

This function performs a Monte Carlo simulation to compare least squares estimators and Maximum Likelihood estimators for a linear regression model with errors distributed as an exponential power distribution. The regressors are drawn from an Uniform distribution.

Usage

simul.lmp(n, m, q, data, int=0, sigmap=1, p=2, lp=FALSE)

Value

The function simul.lmp returns an object of class "simul.lmp". A component of this object is a table of means and variances of the \(m\) estimates of the regression coefficients and of the scale paramenter \(\sigma_p\). The summary shows this table and the arguments of the simulation plan. The function plot

returns the histograms of the computed estimates.

Arguments

n

Sample size.

m

Number of samples.

q

Number of regressors.

data

A vector of coefficients.

int

Value of the intercept.

sigmap

The scale parameter.

p

The shape parameter.

lp

Logical. If TRUE, it evaluates the coefficients with p known.

Author

Angelo M. Mineo

References

Mineo, A.M. (1995) Stima dei parametri di regressione lineare semplice quando gli errori seguono una distribuzione normale di ordine p (p incognito). Annali della Facolt\`a di Economia dell'Universit\`a di Palermo (Area Statistico-Matematica), pp. 161-186.

Examples

Run this code
## Simulation of 50 samples of size 10 for a linear regression model with 1 regressor.
simul.lmp(10,50,1,data=1.5,int=1,sigmap=1,p=3,lp=FALSE)

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