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arXiv · 1512.00377

Robust mixture regression based on the skew t distribution

Fatma Zehra Doğru·Olcay Arslan
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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.

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Fatma Zehra Doğru, Olcay Arslan. 2015-12-01. Robust mixture regression based on the skew t distribution. https://doi.org/10.15446/rce.v40n1.53580

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