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We revisit the generalized hyperbolic (GH) distribution and its nested models. These include widely used parametric choices like the multivariate normal, skew‐t$$ t $$, Laplace, and several others. We also introduce the multiple‐choice LASSO, a novel penalized method for choosing among alternative constraints on the same parameter. A hierarchical multiple‐choice Least Absolute Shrinkage and Selection Operator (LASSO) penalized likelihood is optimized to perform simultaneous model selection and inference within the GH family. We illustrate our approach through a simulation study and a real data example. The methodology proposed in this paper has been implemented in R functions which are available as supplementary material. [ABSTRACT FROM AUTHOR]

Summary: Usually in latent class (LC) analysis, external predictors are taken to be cluster conditional probability predictors (LC models with external predictors), and/or score conditional probability predictors (LC regression models). In such cases, their distribution is not of interest. Class‐specific distribution is of interest in the distal outcome model, when the distribution of the external variables is assumed to depend on LC membership. In this paper, we consider a more general formulation, that embeds both the LC regression and the distal outcome models, as is typically done in cluster‐weighted modelling. This allows us to investigate (1) whether the distribution of the external variables differs across classes, (2) whether there are significant direct effects of the external variables on the indicators, by modelling jointly the relationship between the external and the latent variables. We show the advantages of the proposed modelling approach through a set of artificial examples, an extensive simulation study and an empirical application about psychological contracts among employees and employers in Belgium and the Netherlands. [ABSTRACT FROM AUTHOR]

Summary: The expectation–maximization (EM) algorithm is a familiar tool for computing the maximum likelihood estimate of the parameters in hidden Markov and semi‐Markov models. This paper carries out a detailed study on the influence that the initial values of the parameters impose on the results produced by the algorithm. We compare random starts and partitional and model‐based strategies for choosing the initial values for the EM algorithm in the case of multivariate Gaussian emission distributions (EDs) and assess the performance of each strategy with different assessment criteria. Several data generation settings are considered with varying number of latent states, of variables as well as of the level of fuzziness in the data, and discussion on how each factor influences the obtained results is provided. Simulation results show that different initialization strategies may lead to different log‐likelihood values and, accordingly, to different estimated partitions. A clear indication of which strategies should be preferred is given. We further include two real‐data examples, widely analysed in the hidden semi‐Markov model literature. [ABSTRACT FROM AUTHOR]

In allometric studies, the joint distribution of the log‐transformed morphometric variables is typically elliptical and with heavy tails. To account for these peculiarities, we introduce the multivariate shifted exponential normal (MSEN) distribution , an elliptical heavy‐tailed generalization of the multivariate normal (MN). The MSEN belongs to the family of MN scale mixtures (MNSMs) by choosing a convenient shifted exponential as mixing distribution. The probability density function of the MSEN has a simple closed‐form characterized by only one additional parameter, with respect to the nested MN, governing the tail weight. The first four moments exist and the excess kurtosis can assume any positive value. The membership to the family of MNSMs allows us a simple computation of the maximum likelihood (ML) estimates of the parameters via the expectation‐maximization (EM) algorithm; advantageously, the M‐step is computationally simplified by closed‐form updates of all the parameters. We also evaluate the existence of the ML estimates. Since the parameter governing the tail weight is estimated from the data, robust estimates of the mean vector of the nested MN distribution are automatically obtained by downweighting; we show this aspect theoretically but also by means of a simulation study. We fit the MSEN distribution to multivariate allometric data where we show its usefulness also in comparison with other well‐established multivariate elliptical distributions. [ABSTRACT FROM AUTHOR]

A time-varying latent variable model is proposed to jointly analyze multivariate mixed-support longitudinal data. The proposal can be viewed as an extension of hidden Markov regression models with fixed covariates (HMRMFCs), which is the state of the art for modelling longitudinal data, with a special focus on the underlying clustering structure. HMRMFCs are inadequate for applications in which a clustering structure can be identified in the distribution of the covariates, as the clustering is independent from the covariates distribution. Here, hidden Markov regression models with random covariates are introduced by explicitly specifying state-specific distributions for the covariates, with the aim of improving the recovering of the clusters in the data with respect to a fixed covariates paradigm. The hidden Markov regression models with random covariates class is defined focusing on the exponential family, in a generalized linear model framework. Model identifiability conditions are sketched, an expectation-maximization algorithm is outlined for parameter estimation, and various implementation and operational issues are discussed. Properties of the estimators of the regression coefficients, as well as of the hidden path parameters, are evaluated through simulation experiments and compared with those of HMRMFCs. The method is applied to physical activity data. [ABSTRACT FROM AUTHOR]

This article proposes the elliptical multivariate leptokurtic-normal (MLN) distribution to fit data with excess kurtosis. The MLN distribution is a multivariate Gram-Charlier expansion of the multivariate normal (MN) distribution and has a closed-form representation characterized by one additional parameter denoting the excess kurtosis. It is obtained from the elliptical representation of the MN distribution, by reshaping its generating variate with the associated orthogonal polynomials. The strength of this approach for obtaining the MLN distribution lies in its general applicability as it can be applied to any multivariate elliptical law to get a suitable distribution to fit data. Maximum likelihood is discussed as a parameter estimation technique for the MLN distribution. Mixtures of MLN distributions are also proposed for robust model-based clustering. An EM algorithm is presented to obtain estimates of the mixture parameters. Benchmark real data are used to show the usefulness of mixtures of MLN distributions. The Canadian Journal of Statistics 45: 95-119; 2017 © 2016 Statistical Society of Canada [ABSTRACT FROM AUTHOR]

A mixture of multivariate contaminated normal distributions is developed for model-based clustering. In addition to the parameters of the classical normal mixture, our contaminated mixture has, for each cluster, a parameter controlling the proportion of mild outliers and one specifying the degree of contamination. Crucially, these parameters do not have to be specified a priori, adding a flexibility to our approach. Parsimony is introduced via eigen-decomposition of the component covariance matrices, and sufficient conditions for the identifiability of all the members of the resulting family are provided. An expectation-conditional maximization algorithm is outlined for parameter estimation and various implementation issues are discussed. Using a large-scale simulation study, the behavior of the proposed approach is investigated and comparison with well-established finite mixtures is provided. The performance of this novel family of models is also illustrated on artificial and real data. [ABSTRACT FROM AUTHOR]

In this article the serial dependences between the observed time series and the lagged series, taken into account one-by-one, are graphically analysed by what we have chosen to call the 'autodependogram'. This tool is a sort of natural nonlinear counterpart of the well-known autocorrelogram used in the linear context. The autodependogram is based on the simple idea of using, instead of autocorrelations at varying time lags, the χ2-test statistics applied to convenient contingency tables. The efficacy of this graphical device is confirmed by real and artificial time series and by simulations from certain classes of well-known models, characterized by randomness and by different kinds of linear and nonlinear dependences. [ABSTRACT FROM AUTHOR]