Robust Mixture Regression Based on the Skew t Distribution

Abstract

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

• Algoritmo EM
• máxima verosimilitud
• mixtura de regresiones
• distribución t asimétrica