Robust Likelihood Methods Based on the Skew-t and Related Distributions

DOI10.1111/j.1751-5823.2007.00016.xzbMath1206.62102OpenAlexW2153193653MaRDI QIDQ3182013

Marc G. Genton, Adelchi Azzalini

Publication date: 1 October 2009

Published in: International Statistical Review (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/j.1751-5823.2007.00016.x

zbMATH Keywords

robustnesskurtosismaximum likelihoodskewnessprofile likelihoodsingular information matrix

Mathematics Subject Classification ID

Multivariate distribution of statistics (62H10) Estimation in multivariate analysis (62H12) Applications of statistics to actuarial sciences and financial mathematics (62P05) Monte Carlo methods (65C05)

Related Items

Bayesian inference on partially linear mixed-effects joint models for longitudinal data with multiple features, On simulating Balakrishnan skew-normal variates, Extremal properties of the skew-\(t\) distribution, Discretizing a compound distribution with application to categorical modelling, Efficient recursive computational algorithms for multivariate \(t\) and multivariate unified skew-\(t\) distributions with applications to inference, Some Computational Aspects of Maximum Likelihood Estimation of the Skew-t Distribution, Simulation of Balakrishnan skew-normal order statistics, On modelling asymmetric data using two-piece sinh-arcsinh distributions, A Matching Prior for the Shape Parameter of the Skew-Normal Distribution, Influence diagnostics for Student-tcensored linear regression models, Testing for a Unit Root in Noncausal Autoregressive Models, On the computation of multivariate scenario sets for the skew-\(t\) and generalized hyperbolic families, Simultaneous variable selection and estimation for multivariate multilevel longitudinal data with both continuous and binary responses, Skewness-based projection pursuit: a computational approach, Objective Bayesian analysis for the multivariate skew-\(t\) model, Bayesian inference on longitudinal-survival data with multiple features, Truncated-exponential skew-symmetric distributions, Multivariate normal mean-variance mixture distribution based on Lindley distribution, Augmented mixed beta regression models with skew-normal independent distributions: Bayesian analysis of labor force data, On parameter orthogonality in symmetric and skew models, Mixtures of skewed Kalman filters, Skew-symmetric distributions and Fisher information: the double sin of the skew-normal, Finite mixtures, projection pursuit and tensor rank: a triangulation, On Families of Distributions with Shape Parameters, Maximum a-posteriori estimation of autoregressive processes based on finite mixtures of scale-mixtures of skew-normal distributions, Likelihood-based inference for the multivariate skew-\(t\) regression with censored or missing responses, The modality of skew \(t\)-distribution, Variance-mean mixture of multivariate normal distribution and weighted gamma distribution: properties and applications, SB-robust estimation of mean direction for some new circular distributions, Addressing non-normality in multivariate analysis using the \(t\)-distribution, Using robust dispersion estimation in support vector machines, Goodness-of-fit tests for multivariate skewed distributions based on the characteristic function, Flexible Distributions as an Approach to Robustness: The Skew-t Case, A multivariate skew-normal-Tukey-\(h\) distribution, Skew-symmetric distributions and Fisher information -- a tale of two densities, Bayesian analysis of skew-normal independent linear mixed models with heterogeneity in the random-effects population, A note on bias reduction of maximum likelihood estimates for the scalar skew \(t\) distribution, An alternative multivariate skew Laplace distribution: properties and estimation, A dynamic double asymmetric copula generalized autoregressive conditional heteroskedasticity model: application to China's and US stock market, A Bayesian approach of joint models for clustered zero-inflated count data with skewness and measurement errors, Likelihood inference of nonlinear models based on a class of flexible skewed distributions, Survival and lifetime data analysis with a flexible class of distributions, Convergence rate to a lower tail dependence coefficient of a skew-\(t\) distribution, Flexible objective Bayesian linear regression with applications in survival analysis, Multivariate extended skew-\(t\) distributions and related families, On Fisher information matrices and profile log-likelihood functions in generalized skew-elliptical models, Invariance-based estimating equations for skew-symmetric distributions, On the information matrix of the multivariate skew-\(t\) model, Bayesian varying coefficient mixed-effects joint models with asymmetry and missingness, The centred parametrization for the multivariate skew-normal distribution, High-dimensional inference using the extremal skew-\(t\) process, A robust factor analysis model using the restricted skew-\(t\) distribution, Testing for sub-models of the skew \(t\)-distribution, Multivariate measurement error models based on scale mixtures of the skew–normal distribution, Hypotheses tests on the skewness parameter in a multivariate generalized hyperbolic distribution, Scale and shape mixtures of multivariate skew-normal distributions, Further Results on a Class of Distributions which Includes the Normal Ones – Looking Back, Objective Bayesian Analysis of Skew‐t Distributions, On the canonical form of scale mixtures of skew-normal distributions, Robust statistical modelling using the multivariate skew t distribution with complete and incomplete data, Probabilistic forecasting of wave height for offshore wind turbine maintenance, Shape mixtures of multivariate skew-normal distributions, Using Conditional Kernel Density Estimation for Wind Power Density Forecasting, A Heckman Selection-tModel, A robust Bayesian approach to null intercept measurement error model with application to dental data, Skew \(t\) distributions via the sinh-arcsinh transformation, A robust multivariate measurement error model with skew-normal/independent distributions and Bayesian MCMC implementation, Modeling skew-symmetric distributions using B-spline and penalties, On the singularity of multivariate skew-symmetric models, Characteristic functions of scale mixtures of multivariate skew-normal distributions, A new family of multivariate heavy-tailed distributions with variable marginal amounts of tailweight: application to robust clustering, Asset pricing and portfolio selection based on the multivariate extended skew-student-\(t\) distribution, Variable Selection for Skewed Model-Based Clustering: Application to the Identification of Novel Sleep Phenotypes, The \(t\) family and their close and distant relations, Robust linear mixed models with skew-normal independent distributions from a Bayesian perspective, Likelihood-based inference for Tobit confirmatory factor analysis using the multivariate Student-\(t\) distribution, Skewed factor models using selection mechanisms, Mean-variance-skewness efficient surfaces, Stein's lemma and the multivariate extended skew-Student distribution, Regular, median and Huber cross‐validation: A computational comparison, Assessing probabilistic forecasts of multivariate quantities, with an application to ensemble predictions of surface winds, Local influence analysis for regression models with scale mixtures of skew-normal distributions, An overview on the progeny of the skew-normal family -- a personal perspective, Minimum density power divergence estimator for covariance matrix based on skew \(t\) distribution, Testing for the symmetric component in skew distributions, Modelling air pollution data by the skew-normal distribution, Analysis of multivariate skew normal models with incomplete data, Bayesian variable selection in linear regression models with non-normal errors, Characteristic Function-based Semiparametric Inference for Skew-symmetric Models, Variance-mean mixture of the multivariate skew normal distribution, Inference in flexible families of distributions with normal kernel, Minimum Hellinger distance based inference for scalar skew-normal and skew-\(t\) distributions

Uses Software

• R
• sn

Cites Work

• Highly Robust Estimation of the Autocovariance Function
• A note on the asymptotic distribution of the maximum likelihood estimator for the scalar skew-normal distribution
• On Gauss's characterization of the normal distribution
• Do robust estimators work with real data?
• Moments of random vectors with skew \(t\) distribution and their quadratic forms.
• A dependent bivariate \(t\) distribution with marginals on different degrees of freedom
• Bias prevention of maximum likelihood estimates for scalar skew normal and skew \(t\) distribu\-tions
• A note on reference priors for the scalar skew-normal distribution
• Statistical Analysis of Financial Data in S-Plus
• Constrained local likelihood estimators for semiparametric skew-normal distributions
• Robust Estimation of the First-Order Autoregressive Parameter
• Multivariate Student-t regression models: Pitfalls and inference
• Statistical Applications of the Multivariate Skew Normal Distribution
• Flexible Discriminant Analysis by Optimal Scoring
• The multivariate skew-normal distribution
• A new class of multivariate skew distributions with applications to bayesian regression models
• Multivariate skewt-distribution
• Problems of inference for Azzalini's skewnormal distribution
• Distributions Generated by Perturbation of Symmetry with Emphasis on a Multivariate Skewt-Distribution
• Comprehensive Definitions of Breakdown Points for Independent and Dependent Observations
• A Skew Extension of the T-Distribution, with Applications
• Flexible Class of Skew-Symmetric Distributions
• Multivariate T-Distributions and Their Applications
• The Skew-normal Distribution and Related Multivariate Families*
• Inferential Aspects of the Skew Exponential Power Distribution
• Locally Efficient Semiparametric Estimators for Generalized Skew-Elliptical Distributions
• Calibrated Probabilistic Forecasting at the Stateline Wind Energy Center
• Robust Statistics
• The elements of statistical learning. Data mining, inference, and prediction
• A general class of multivariate skew-elliptical distributions
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item