Finite mixtures of canonical fundamental skew t-distributions. The unification of the restricted and unrestricted skew t-mixture models
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Publication:294223
DOI10.1007/S11222-015-9545-XzbMATH Open1420.60020arXiv1401.8182OpenAlexW1664060554MaRDI QIDQ294223FDOQ294223
Authors: Sharon X. Lee, Geoffrey J. McLachlan 
Publication date: 10 June 2016
Published in: Statistics and Computing (Search for Journal in Brave)
Abstract: In this paper, we present an algorithm for the fitting of a location-scale variant of the canonical fundamental skew t (CFUST) distribution, a superclass of the restricted and unrestricted skew t-distributions. In recent years, a few versions of the multivariate skew (MST) model have been put forward, together with various EM-type algorithms for parameter estimation. These formulations adopted either a restricted or unrestricted characterization for their MST densities. In this paper, we examine a natural generalization of these developments, employing the CFUST distribution as the parametric family for the component distributions, and point out that the restricted and unrestricted characterizations can be unified under this general formulation. We show that an exact implementation of the EM algorithm can be achieved for the CFUST distribution and mixtures of this distribution, and present some new analytical results for a conditional expectation involved in the E-step.
Full work available at URL: https://arxiv.org/abs/1401.8182
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