Using mixtures in seemingly unrelated linear regression models with non-normal errors
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Abstract: Seemingly unrelated linear regression models are introduced in which the distribution of the errors is a finite mixture of Gaussian components. Identifiability conditions are provided. The score vector and the Hessian matrix are derived. Parameter estimation is performed using the maximum likelihood method and an Expectation-Maximisation algorithm is developed. The usefulness of the proposed methods and a numerical evaluation of their properties are illustrated through the analysis of a real dataset.
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Cited in
(14)- Covariance matrix estimation of the maximum likelihood estimator in multivariate clusterwise linear regression
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- The relationship between moderate to vigorous physical activity and metabolic syndrome: a Bayesian measurement error approach
- The use of mixtures for dealing with non-normal regression errors
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