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Robust mixture regression based on the skew t distribution
- Publication Year :
- 2015
-
Abstract
- In this study, we propose a robust mixture regression procedure based on the skew t distribution to model heavy-tailed and/or skewed errors in a mixture regression setting. Using the scale mixture representation of the skew t distribution, we give an Expectation Maximization (EM) algorithm to compute the maximum likelihood (ML) estimates for the paramaters of interest. The performance of proposed estimators is demonstrated by a simulation study and a real data example.<br />Comment: 15
- Subjects :
- Mathematics - Statistics Theory
Statistics - Methodology
Subjects
Details
- Database :
- arXiv
- Publication Type :
- Report
- Accession number :
- edsarx.1512.00377
- Document Type :
- Working Paper
- Full Text :
- https://doi.org/10.15446/rce.v40n1.53580