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Robust mixture multivariate linear regression by multivariate Laplace distribution

Author

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  • Li, Xiongya
  • Bai, Xiuqin
  • Song, Weixing

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.

Suggested Citation

  • Li, Xiongya & Bai, Xiuqin & Song, Weixing, 2017. "Robust mixture multivariate linear regression by multivariate Laplace distribution," Statistics & Probability Letters, Elsevier, vol. 130(C), pages 32-39.
    • Handle: RePEc:eee:stapro:v:130:y:2017:i:c:p:32-39
    DOI: 10.1016/j.spl.2017.06.028
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    References listed on IDEAS

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    1. Yao, Weixin & Wei, Yan & Yu, Chun, 2014. "Robust mixture regression using the t-distribution," Computational Statistics & Data Analysis, Elsevier, vol. 71(C), pages 116-127.
    2. Bai, Xiuqin & Yao, Weixin & Boyer, John E., 2012. "Robust fitting of mixture regression models," Computational Statistics & Data Analysis, Elsevier, vol. 56(7), pages 2347-2359.
    3. Anderson, Dale N., 1992. "A multivariate Linnik distribution," Statistics & Probability Letters, Elsevier, vol. 14(4), pages 333-336, July.
    4. Song, Weixing & Yao, Weixin & Xing, Yanru, 2014. "Robust mixture regression model fitting by Laplace distribution," Computational Statistics & Data Analysis, Elsevier, vol. 71(C), pages 128-137.
    5. Mian Huang & Runze Li & Shaoli Wang, 2013. "Nonparametric Mixture of Regression Models," Journal of the American Statistical Association, Taylor & Francis Journals, vol. 108(503), pages 929-941, September.
    6. Neykov, N. & Filzmoser, P. & Dimova, R. & Neytchev, P., 2007. "Robust fitting of mixtures using the trimmed likelihood estimator," Computational Statistics & Data Analysis, Elsevier, vol. 52(1), pages 299-308, September.
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    Cited by:

    1. Ang Shan & Fengkai Yang, 2021. "Bayesian Inference for Finite Mixture Regression Model Based on Non-Iterative Algorithm," Mathematics, MDPI, vol. 9(6), pages 1-13, March.

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