Main Article Content

Abstract

Rank-based analysis of linear models is based on selecting an appropriate score function. The information about the shape of the underlying distribution is necessary for the optimal selection; leading towards asymptotically efficient analysis. In this study, we analyzed the multilevel model with cluster-correlated error terms following a family of skew-t distribution with the rank-based approach based on score function derived for the class of skew-normal distribution. The rank fit is compared with the Restricted Maximum Likelihood (REML) estimation in terms of validity and efficiency for different sample sizes. A Monte Carlo simulation study is carried out over skewed-t and contaminated-t distribution with a range of skewness parameter from moderately to highly skewed. The standard error of regression coefficients is significantly reduced in the rank-based approach and further reduces for a large sample size. Rank-based fit appeared asymptotically efficient than REML for each shape parameter of skewness in skew-t and contaminated-t distribution computed through a calculation of precision. The empirical validity of fixed effects is obtained up to the nominal level 0.95 in REML but not rank-based with skew-normal score function.

Keywords

Multilevel models Rank-based REML Skew-normal Skew-t

Article Details

How to Cite
Saleem, S., & Sherwani, R. A. K. (2021). Efficient Rank-Based Analysis of Multilevel Models for the Family of Skew-t Errors. Pakistan Journal of Statistics and Operation Research, 17(1), 89-98. https://doi.org/10.18187/pjsor.v16i2.3339

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