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Robust mixture regression based on the skew t distribution

Acceso Abierto

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.

Tópico:

Bayesian Methods and Mixture Models

Citaciones:

Citations: 16
16

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Información de la Fuente:

SCImago Journal & Country Rank
FuenteRevista Colombiana de Estadística
Cuartil año de publicaciónNo disponible
Volumen40
Issue1
Páginas45 - 64
pISSNNo disponible
ISSN2389-8976

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