Penalized maximum likelihood method to a class of skewness data analysis (Q1719214)

Summary: An extension of some standard likelihood and variable selection criteria based on procedures of linear regression models under the skew-normal distribution or the skew-\(t\) distribution is developed. This novel class of models provides a useful generalization of symmetrical linear regression models, since the random term distributions cover both symmetric as well as asymmetric and heavy-tailed distributions. A generalized expectation-maximization algorithm is developed for computing the \(\ell_1\) penalized estimator. Efficacy of the proposed methodology and algorithm is demonstrated by simulated data.