Joint modelling of location and scale parameters of the t distribution

DOI10.1191/1471082X04st068oazbMath1112.62010OpenAlexW2064189889MaRDI QIDQ3429986

No author found.

Publication date: 20 March 2007

Published in: Statistical Modelling (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1191/1471082x04st068oa

zbMATH Keywords

random effectsmaximum likelihoodheteroscedastic regressionlocation and scale models

Mathematics Subject Classification ID

Estimation in multivariate analysis (62H12) Linear regression; mixed models (62J05) Exact distribution theory in statistics (62E15)

Related Items

A skew-normal mixture of joint location, scale and skewness models ⋮ EGARCH models with fat tails, skewness and leverage ⋮ Variable Selection in Heteroscedastic Regression Models Under General Skew-t Distributional Models Using Information Complexity ⋮ A robust approach to joint modeling of mean and scale covariance for longitudinal data ⋮ Estimation and variable selection for mixture of joint mean and variance models ⋮ On parameter orthogonality in symmetric and skew models ⋮ Heteroscedastic and heavy-tailed regression with mixtures of skew Laplace normal distributions ⋮ Variable selection in joint mean and variance models of Box–Cox transformation ⋮ Diagnostic analysis for heterogeneous log-Birnbaum-Saunders regression models ⋮ Variable selection of varying dispersion student-\(t\) regression models ⋮ Corrected maximum likelihood estimators in heteroscedastic symmetric nonlinear models ⋮ Tests of heteroscedasticity and correlation in multivariate t regression models with AR and ARMA errors ⋮ Variable Selection in Joint Location and Scale Models of the Skew-t-Normal Distribution ⋮ Variable selection for joint mean and dispersion models of the inverse Gaussian distribution ⋮ Robust estimation and variable selection in heteroscedastic regression model using least favorable distribution ⋮ Heteroscedastic symmetrical linear models ⋮ A new class of survival regression models with heavy-tailed errors: robustness and diagnostics ⋮ Heteroscedastic Laplace mixture of experts regression models and applications ⋮ Heteroscedasticity diagnostics for \(t\) linear regression models ⋮ A new class of inverse Gaussian type distributions ⋮ Variable selection in joint location and scale models of the skew-normal distribution ⋮ Assessment of variance components in elliptical linear mixed models ⋮ Lifetime analysis based on the generalized Birnbaum-Saunders distribution ⋮ Variable selection for skew-normal mixture of joint location and scale models ⋮ A Bayesian regression model for the non-standardized \(t\) distribution with location, scale and degrees of freedom parameters ⋮ Heavy or semi-heavy tail, that is the question ⋮ Joint modeling of location and scale parameters of the skew-normal distribution

Uses Software

• alr3

Cites Work

• Unnamed Item
• A Simple Test for Heteroscedasticity and Random Coefficient Variation
• Diagnostics for heteroscedasticity in regression
• Estimation of error variance in linear regression models with errors having multivariate Student-\(t\) distribution with unknown degrees of freedom
• ML estimation of the multivariate \(t\) distribution and the EM algorithm
• Robust diagnostic regression analysis
• Missing data imputation using the multivariate \(t\) distribution
• Estimation of the parameters of a regression model with a multivariate t error variable
• Robust Estimation of the Mean and Covariance Matrix from Data with Missing Values
• Estimating Regression Models with Multiplicative Heteroscedasticity
• Parameter expansion to accelerate EM: the PX-EM algorithm
• Multivariate Student-t regression models: Pitfalls and inference
• t-REML for Robust Heteroscedastic Regression Analysis of Mitochondrial Power
• The ECME algorithm: A simple extension of EM and ECM with faster monotone convergence
• The emperor's new clothes: a critique of the multivariate t regression model
• Generalized linear models for the analysis of quality-improvement experiments
• Distributions Generated by Perturbation of Symmetry with Emphasis on a Multivariate Skewt-Distribution
• A Skew Extension of the T-Distribution, with Applications
• Recovery of inter-block information when block sizes are unequal
• Robust Statistics