A semiparametric scale-mixture regression model and predictive recursion maximum likelihood

DOI10.1016/J.CSDA.2015.08.005zbMATH Open1468.62136arXiv1306.3185OpenAlexW1440617292WikidataQ57433474 ScholiaQ57433474MaRDI QIDQ1660139FDOQ1660139

Zhen Han, Ryan Martin

Publication date: 15 August 2018

Published in: Computational Statistics and Data Analysis (Search for Journal in Brave)

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.

Full work available at URL: https://arxiv.org/abs/1306.3185

Recommendations

• Semiparametric inference in mixture models with predictive recursion marginal likelihood
• Estimation of semiparametric models with errors following a scale mixture of Gaussian distributions
• Semiparametric mixture of additive regression models
• Flexible robust mixture regression modeling
• Robust mixture regression modeling based on scale mixtures of skew-normal distributions

zbMATH Keywords

EM algorithmprofile likelihoodmarginal likelihoodDirichlet processnonparametric maximum likelihoodnormal scale mixture

Mathematics Subject Classification ID

Computational methods for problems pertaining to statistics (62-08) Nonparametric estimation (62G05)

Cites Work

• An R implementation for generalized Birnbaum-Saunders distributions
• Title not available (Why is that?)
• Title not available (Why is that?)
• Bayesian Density Estimation and Inference Using Mixtures
• Robust regression: Asymptotics, conjectures and Monte Carlo
• Applied Asymptotics
• Robust Statistics
• Nonparametric Bayesian data analysis
• A Bayesian analysis of some nonparametric problems
• Marginal Likelihood from the Gibbs Output
• Title not available (Why is that?)
• Title not available (Why is that?)
• On Fast Computation of the Non-Parametric Maximum Likelihood Estimate of a Mixing Distribution
• Title not available (Why is that?)
• Sharpening Wald-type inference in robust regression for small samples
• Title not available (Why is that?)
• Robust statistical modeling using the Birnbaum‐Saunders‐t distribution applied to insurance
• Understanding some long‐tailed symmetrical distributions
• On a class of Bayesian nonparametric estimates: I. Density estimates
• On scale mixtures of normal distributions
• A family of autoregressive conditional duration models applied to financial data
• Particle learning for general mixtures
• Asymptotic properties of predictive recursion: robustness and rate of convergence
• A nonparametric empirical Bayes framework for large-scale multiple testing
• Semiparametric inference in mixture models with predictive recursion marginal likelihood
• Title not available (Why is that?)
• Title not available (Why is that?)
• Convergence and consistency of Newton's algorithm for estimating mixing distribution
• Consistency of a recursive estimate of mixing distributions
• Stochastic approximation and Newton's estimate of a mixing distribution
• Bayesian Robust Multivariate Linear Regression With Incomplete Data
• Title not available (Why is that?)
• Modern regression methods.
• An Approximate Bayesian Marginal Likelihood Approach for Estimating Finite Mixtures

Cited In (7)

• مدل رگرسیون نیمهپارامتری مکان-مقیاس با دمهای نیمهسنگین بر اساس توزیع هایپربولیک سکانت
• Semiparametric estimation for linear regression with symmetric errors
• A survey of nonparametric mixing density estimation via the predictive recursion algorithm
• Revisiting consistency of a recursive estimator of mixing distributions
• A PRticle filter algorithm for nonparametric estimation of multivariate mixing distributions
• Appropriate use of parametric and nonparametric methods in estimating regression models with various shapes of errors
• Estimating a mixing distribution on the sphere using predictive recursion

Uses Software

• R
• quantreg
• gbs
• DPpackage
• bootlib

This page was built for publication: A semiparametric scale-mixture regression model and predictive recursion maximum likelihood

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q1660139)