Inference for multiple linear regression model with extended skew normal errors

Abstract

This paper presents the estimation of the parameters of the multiple linear regression model when errors are assumed to follow the independent extended skew normal distribution. The estimators of the regression parameters are determined using the maximum likelihood and least squares methods. In addition, the asymptotic distributions of the estimators are studied. The properties of the estimators under both approaches are compared based on a simulation study and a real data set is applied for illustration. 2016 Pakistan Journal of Statistics.