Estimation Of Coefficients and Scale Parameter for Linear (Type 1) Extreme Value Regression Model for Largest Values with Applications

Authors

• Fatima Jasim Mohammed, Agricultural Economics Department, College of Agricultural Engineering Sciences, University of Baghdad, Iraq
• Adel Ahmed Haddow, Department of Statistics, College of Administration and Economics, Mustansiriyah University, Iraq

Abstract

In this paper we estimate the coefficients and scale parameter in linear regression model depending on the residuals are of type 1 of extreme value distribution for the largest values . This can be regard as an improvement for the studies with the smallest values . We study two estimation methods ( OLS & MLE ) where we resort to Newton – Raphson (NR) and Fisher Scoring methods to get MLE estimate because the difficulty of using the usual approach with MLE . The relative efficiency criterion is considered beside to the statistical inference procedures for the extreme value regression model of type 1 for largest values . Confidence interval , hypothesis testing for both scale parameter and regression coefficients , goodness of fit statistics based on the observed residuals are considered . As a conclusion and through the probability plot test we get no evidence against using the assumed residuals distribution.

DOI

10.33095/jeas.v18i68.985

Subject Area

Statistical

First Page

373

Last Page

402

Recommended Citation

Mohammed, F. J., & Haddow, A. A. (2012). Estimation Of Coefficients and Scale Parameter for Linear (Type 1) Extreme Value Regression Model for Largest Values with Applications. Journal of Economics and Administrative Sciences, 18(68), 373-402. https://doi.org/10.33095/jeas.v18i68.985