Lomax regression model with varying precision: formulation, estimation, diagnostics, and application. (English) Zbl 1527.62057
Summary: In this paper, we propose a new regression model with varying precision based on the Lomax distribution with regression structures for both the mean and precision parameters. The structures contain unknown parameters, regressors, and a link function. We discuss methods for parameter estimation, hypothesis testing and diagnostic analysis, along with their asymptotic properties. We also provide the expressions for the score vector as well as for the observed and Fisher information matrices. We conduct a Monte Carlo simulation study to investigate the behavior of the estimators and evaluate their finite sample performance. Finally, we present and discuss an empirical application to illustrate the usefulness of the proposed model.
MSC:
| 62J12 | Generalized linear models (logistic models) |
| 62F10 | Point estimation |
| 62F03 | Parametric hypothesis testing |
Keywords:
asymmetrical data; maximum likelihood method; Monte Carlo simulation; positive data; reparametrizationReferences:
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