Abstract

DOğRU, FATMA ZEHRA  and  ARSLAN, OLCAY. Robust Mixture Regression Based on the Skew t Distribution. Rev.Colomb.Estad. [online]. 2017, vol.40, n.1, pp.45-64. ISSN 0120-1751.  https://doi.org/10.15446/rce.v40n1.53580.

In this study, we explore a robust mixture regression procedure based on the skew t distribution in order to model heavy-tailed and/or skewed errors in a mixture regression setting. We present an EM-type algorithm to compute the maximum likelihood estimators for the parameters of interest using the scale mixture representation of the skew t distribution. The performance of proposed estimators is demonstrated by a simulation study and a real data example.

Keywords : EM Algorithm; Maximum Likelihood; Mixture Regression Model; Skew t Distribution.

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