Robust mixture regression based on the skew t distribution
Statistics Theory
2017-06-12 v1 Methodology
Statistics Theory
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.
Cite
@article{arxiv.1512.00377,
title = {Robust mixture regression based on the skew t distribution},
author = {Fatma Zehra Doğru and Olcay Arslan},
journal= {arXiv preprint arXiv:1512.00377},
year = {2017}
}
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