Multivariate linear regression with non-normal errors: a solution based on mixture models

DOI10.1007/s11222-010-9190-3zbMath1221.62106OpenAlexW2084809030MaRDI QIDQ637985

Giuliano Galimberti, Gabriele Soffritti

Publication date: 8 September 2011

Published in: Statistics and Computing (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11222-010-9190-3

zbMATH Keywords

EM algorithmmodel selection criterion

Mathematics Subject Classification ID

Multivariate distribution of statistics (62H10) Estimation in multivariate analysis (62H12) Linear regression; mixed models (62J05) Monte Carlo methods (65C05)

Related Items (17)

Multivariate response and parsimony for Gaussian cluster-weighted models ⋮ Bayesian linear regression models with flexible error distributions ⋮ A multivariate linear regression analysis using finite mixtures of \(t\) distributions ⋮ Multivariate cluster-weighted models based on seemingly unrelated linear regression ⋮ Using mixtures in seemingly unrelated linear regression models with non-normal errors ⋮ Two-layer EM algorithm for ALD mixture regression models: a new solution to composite quantile regression ⋮ Hidden truncation hyperbolic distributions, finite mixtures thereof, and their application for clustering ⋮ Coverage probabilities of confidence intervals for the slope parameter of linear regression model when the error term is not normally distributed ⋮ Multivariate cluster weighted models using skewed distributions ⋮ Graphical and Computational Tools to Guide Parameter Choice for the Cluster Weighted Robust Model ⋮ Seemingly unrelated clusterwise linear regression for contaminated data ⋮ Seemingly unrelated clusterwise linear regression ⋮ Modelling the role of variables in model-based cluster analysis ⋮ Adaptive robust regression with continuous Gaussian scale mixture errors ⋮ Measuring sample quality with diffusions ⋮ Bayesian variable selection in linear regression models with non-normal errors ⋮ Heavy or semi-heavy tail, that is the question

Uses Software

• mclust
• R
• flexmix
• bootstrap

Cites Work

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