(Universidad EAFIT, 2021-05-12) Burbano Moreno, Álvaro Alexander; Melo-Martinez, Oscar Orlando; Qamarul Islam, M; Universidade Federal Minas Gerais; Universidad Nacional de Colombia; Middle East Technical University
We study multiple linear regression model under non-normally distributed random error by considering the family of generalized secant hyperbolic distributions. We derive the estimators of model parameters by using modified maximum likelihood methodology and explore the properties of the modified maximum likelihood estimators so obtained. We show that the proposed estimators are more efficient and robust than the commonly used least square estimators. We also develop the relevant test of hypothesis procedures and compared the performance of such tests vis-a-vis the classical tests that are based upon the least square approach.