Robust mixture regression based on the skew t distribution

DOI10.15446/RCE.V40N1.53580zbMATH Open1435.62189arXiv1512.00377OpenAlexW3100686658MaRDI QIDQ5114090FDOQ5114090

Authors: Fatma Zehra Dogru, Olcay Arslan 

Publication date: 21 June 2020

Published in: Revista Colombiana de Estadística (Search for Journal in Brave)

Abstract: In this study, we propose a robust mixture regression procedure based on the skew t distribution to model heavy-tailed and/or skewed errors in a mixture regression setting. Using the scale mixture representation of the skew t distribution, we give an Expectation Maximization (EM) algorithm to compute the maximum likelihood (ML) estimates for the paramaters of interest. The performance of proposed estimators is demonstrated by a simulation study and a real data example.

Full work available at URL: https://arxiv.org/abs/1512.00377

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zbMATH Keywords

EM algorithmmaximum likelihoodmixture regression modelskew \(t\) distribution

Mathematics Subject Classification ID

Classification and discrimination; cluster analysis (statistical aspects) (62H30) Estimation in multivariate analysis (62H12)

Cited In (20)

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• Robust regression modeling via parametric likelihoods: an alternative to using the skew \(t\) distribution and several rank-based methods
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• Flexible distributions as an approach to robustness: the skew-\(t\) case
• The skew generalized \(t\) (SGT) distribution as the scale mixture of a skew exponential power distribution and its applications in robust estimation
• Heteroscedastic and heavy-tailed regression with mixtures of skew Laplace normal distributions
• A generalized class of skew distributions and associated robust quantile regression models
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• Mixture network autoregressive model with application on students' successes
• Regularized multivariate regression models with skew-\(t\) error distributions
• Using regression mixture models with non-normal data: examining an ordered polytomous approach
• Adaptive robust regression with continuous Gaussian scale mixture errors
• Location-scale mixture of skew-elliptical distributions: looking at the robust modeling
• A general skew-\(t\) mixed model that allows different degrees of freedom for random effects and error distributions
• Linear regression models using finite mixtures of skew heavy-tailed distributions

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