Finite mixtures of canonical fundamental skew t-distributions. The unification of the restricted and unrestricted skew t-mixture models
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Finite mixtures of canonical fundamental skew \(t\)-distributions. The unification of the restricted and unrestricted skew \(t\)-mixture models
Finite mixtures of canonical fundamental skew \(t\)-distributions. The unification of the restricted and unrestricted skew \(t\)-mixture models
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.
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