Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
5129641 | Statistics & Probability Letters | 2017 | 8 Pages |
Abstract
Assuming that the error terms follow a multivariate Laplace distribution, we propose a robust estimation procedure for mixture of multivariate linear regression models in this paper. Using the fact that the multivariate Laplace distribution is a scale mixture of the multivariate standard normal distribution, an efficient EM algorithm is designed to implement the proposed robust estimation procedure. The performance of the proposed algorithm is thoroughly evaluated by some simulation and comparison studies.
Keywords
Related Topics
Physical Sciences and Engineering
Mathematics
Statistics and Probability
Authors
Xiongya Li, Xiuqin Bai, Weixing Song,