Penalized maximum likelihood method to a class of skewness data analysis

DOI10.1155/2014/824816MaRDI QIDQ1719214zbMATH OpenOpenAlexWikidataFDO

Authors Qianying Zeng, Xuedong Chen, Qiankun Song

Publication date 8 February 2019

Published in Mathematical Problems in Engineering (Search for Journal in Brave)

Copyright license Creative Commons Attribution 3.0 Unported

Full work available at URL https://doi.org/10.1155/2014/824816

Mathematics Subject Classification ID

Multivariate distribution of statistics (62H10) Ridge regression; shrinkage estimators (Lasso) (62J07)

Review text

Summary: An extension of some standard likelihood and variable selection criteria based on procedures of linear regression models under the skew-normal distribution or the skew-\(t\) distribution is developed. This novel class of models provides a useful generalization of symmetrical linear regression models, since the random term distributions cover both symmetric as well as asymmetric and heavy-tailed distributions. A generalized expectation-maximization algorithm is developed for computing the \(\ell_1\) penalized estimator. Efficacy of the proposed methodology and algorithm is demonstrated by simulated data.

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Cited in

(3)

• Maximum penalized likelihood estimation for skew-normal and skew-t distributions
• Penalized maximum likelihood estimation for skew normal mixtures
• Modeling skew-symmetric distributions using B-spline and penalties

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