Marginal and Conditional both Extreme Value Distributions: A Case of Stochastic Regression Model

Abstract

A mathematical model is a mathematical connection that describes some real-life scenario. To handle real-world problems securely and effectively, simulation modelling is required. In this article, the author investigates the stochastic regression model scenario in which the dependent and independent variables in a linear regression model follow a distribution. We assume that the dependent and independent variables both exhibit Type I Extreme Value Distribution. The estimators are then derived using the Modified Maximum Likelihood (MML) estimation method. In accordance with this, a hypothesis testing technique is developed.