A semiparametric scale-mixture regression model and predictive recursion maximum likelihood
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Abstract: To avoid specification of the error distribution in a regression model, we propose a general nonparametric scale mixture model for the error distribution. For fitting such mixtures, the predictive recursion method is a simple and computationally efficient alternative to existing methods. We define a predictive recursion-based marginal likelihood function, and estimation of the regression parameters proceeds by maximizing this function. A hybrid predictive recursion--EM algorithm is proposed for this purpose. The method's performance is compared with that of existing methods in simulations and real data analyses.
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Cited in
(9)- Estimation of semiparametric models with errors following a scale mixture of Gaussian distributions
- A survey of nonparametric mixing density estimation via the predictive recursion algorithm
- Semiparametric estimation for linear regression with symmetric errors
- Semiparametric inference in mixture models with predictive recursion marginal likelihood
- Appropriate use of parametric and nonparametric methods in estimating regression models with various shapes of errors
- Revisiting consistency of a recursive estimator of mixing distributions
- مدل رگرسیون نیمهپارامتری مکان-مقیاس با دمهای نیمهسنگین بر اساس توزیع هایپربولیک سکانت
- A PRticle filter algorithm for nonparametric estimation of multivariate mixing distributions
- Estimating a mixing distribution on the sphere using predictive recursion
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