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Robust fitting of mixtures of GLMs by weighted likelihood

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  • Luca Greco

    (University of Sannio)

Abstract

Finite mixtures of generalized linear models are commonly fitted by maximum likelihood and the EM algorithm. The estimation process and subsequent inferential and classification procedures can be badly affected by the occurrence of outliers. Actually, contamination in the sample at hand may lead to severely biased fitted components and poor classification accuracy. In order to take into account the potential presence of outliers, a robust fitting strategy is proposed that is based on the weighted likelihood methodology. The technique exhibits a satisfactory behavior in terms of both fitting and classification accuracy, as confirmed by some numerical studies and real data examples.

Suggested Citation

  • Luca Greco, 2022. "Robust fitting of mixtures of GLMs by weighted likelihood," AStA Advances in Statistical Analysis, Springer;German Statistical Society, vol. 106(1), pages 25-48, March.
    • Handle: RePEc:spr:alstar:v:106:y:2022:i:1:d:10.1007_s10182-021-00402-y
    DOI: 10.1007/s10182-021-00402-y
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