Published

2017-01-16

Robust mixture regression based on the skew t distribution

Mixtura robusta de modelos de regresión basada en la distribución t asimétrica

Keywords:

Mixture regression models, robust regression, maximum likelihood, EM algorithm, skew t distribution (en)
Algoritmo EM, máxima verosimilitud, mixtura de regresiones, distribución t asimétrica. (es)

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Authors

  • Fatma Zehra Doğru Ankara University
  • Olcay Arslan Ankara University
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.

En este estudio se explora una mixtura robusta de modelos de regresión basada en la distribución t asimétrica, con el propósito de modelar colas pesadas o asimétricas en los errores, en un escenario de mixtura de regresiones. Se usa un algoritmo EM para obtener los estimadores máximo verosímiles empleando una mixtura de escala de la distribución t asimétrica. El comportamiento de los estimadores propuestos se ilustra a través de une estudio de simulación y de un ejemplo con datos reales.

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