A new multivariate t distribution with variant tail weights and its application in robust regression analysis

DOI10.1080/02664763.2021.1913106MaRDI QIDQ5093038zbMATH OpenOpenAlexFDO

Authors Chi Zhang, Pengyi Liu, Man-Lai Tang, Guo-Liang Tian, Kam Chuen Yuen

Publication date 26 July 2022

Published in Journal of Applied Statistics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/02664763.2021.1913106

zbMATH Keywords

expectation/conditional maximization algorithmmultivariate \(t\) distributionmultivariate \(t\) regression modelmultivariate truncated normal distributionstochastic representation

Mathematics Subject Classification ID

Applications of statistics (62Pxx)

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Cites work

• A BIVARIATE GENERALIZATION OF STUDENT'S t-DISTRIBUTION, WITH TABLES FOR CERTAIN SPECIAL CASES
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• A new family of multivariate heavy-tailed distributions with variable marginal amounts of tailweight: application to robust clustering
• Bayesian and Non-Bayesian Analysis of the Regression Model with Multivariate Student-t Error Terms
• Bayesian Robust Multivariate Linear Regression With Incomplete Data
• Estimation methods for the multivariate \(t\) distribution
• Extension of the mixture of factor analyzers model to incorporate the multivariate \(t\)-distribution
• scientific article; zbMATH DE number 788228 (Why is no real title available?)
• scientific article; zbMATH DE number 3378424 (Why is no real title available?)
• scientific article; zbMATH DE number 3094655 (Why is no real title available?)
• Mathematical properties of the multivariate \(t\) distribution
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• Missing data imputation using the multivariate \(t\) distribution
• ML estimation of the multivariate t distribution and the EM algorithm
• Multivariate Student-t regression models: Pitfalls and inference
• Multivariate T-Distributions and Their Applications
• On the Computation of a Bivariate t-Distribution
• Robust graphical modeling of gene networks using classical and alternative \(t\)-distributions
• Some results on the multivariate truncated normal distribution
• Statisticians are Fairly Robust Estimators of Location
• The ECME algorithm: A simple extension of EM and ECM with faster monotone convergence
• The meta-elliptical distributions with given marginals

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