Robust mixture regression based on the skew t distribution Mixtura robusta de modelos de regresión basada en la distribución t asimétrica

Doğru F. Z., ARSLAN O.

Revista Colombiana de Estadistica, cilt.40, sa.1, ss.45-64, 2017 (SCI-Expanded) identifier

  • Yayın Türü: Makale / Tam Makale
  • Cilt numarası: 40 Sayı: 1
  • Basım Tarihi: 2017
  • Doi Numarası: 10.15446/rce.v40n1.53580
  • Dergi Adı: Revista Colombiana de Estadistica
  • Derginin Tarandığı İndeksler: Science Citation Index Expanded (SCI-EXPANDED), Scopus
  • Sayfa Sayıları: ss.45-64
  • Anahtar Kelimeler: EM algorithm, Maximum likelihood, Mixture regression model, Skew t distribution
  • Ankara Üniversitesi Adresli: Evet

Özet

© 2017, Universidad Nacional de Colombia. All rights reserved.In this study, we explore a robust mixture regression procedure based on the skew t distribution in order to model heavy-tailed and/or skewed errors in a mixture regression setting. We present an EM-type algorithm to compute the maximum likelihood estimators for the parameters of interest using the scale mixture representation of the skew t distribution. The performance of proposed estimators is demonstrated by a simulation study and a real data example.