TY - BOOK

T1 - Linear Regression Models with Finite Mixtures of Skew Heavy-Tailed Errors

AU - Benites, Luis

AU - Maehara, Rocío

AU - Lachos, Victor H.

PY - 2016

Y1 - 2016

N2 - We consider estimation of regression models whose error terms follow a finite mixture of scale mixtures of skew-normal (SMSN) distributions, a rich class of distributions that contains the skew-normal, skew-t, skew-slash and skew-contaminated normal distributions as proper elements. This approach allows us to model data with great flexibility, accommodating simultaneously multimodality, skewness and heavy tails. We developed a simple EM-type algorithm to perform maximum likelihood (ML) inference of the parameters of the proposed model with closed-form expression at the E-step. Furthermore, the standard errors of the ML estimates can be obtained as a byproduct. The practical utility of the new method is illustrated with the analysis of real dataset and several simulation studies. The proposed algorithm and methods are implemented in the R package FMsmsnReg().

AB - We consider estimation of regression models whose error terms follow a finite mixture of scale mixtures of skew-normal (SMSN) distributions, a rich class of distributions that contains the skew-normal, skew-t, skew-slash and skew-contaminated normal distributions as proper elements. This approach allows us to model data with great flexibility, accommodating simultaneously multimodality, skewness and heavy tails. We developed a simple EM-type algorithm to perform maximum likelihood (ML) inference of the parameters of the proposed model with closed-form expression at the E-step. Furthermore, the standard errors of the ML estimates can be obtained as a byproduct. The practical utility of the new method is illustrated with the analysis of real dataset and several simulation studies. The proposed algorithm and methods are implemented in the R package FMsmsnReg().

UR - https://ciup.up.edu.pe/publicaciones/linear-regression-models-with-finite-mixtures-skew-heavy-tailed-errors/

M3 - Commissioned report

BT - Linear Regression Models with Finite Mixtures of Skew Heavy-Tailed Errors

ER -