Multivariate measurement error models using finite mixtures of skew-Student t distributions

Celso Rômulo Barbosa Cabral, Víctor Hugo Lachos and Camila Borelli Zeller

Journal of Multivariate Analysis, 2014, vol. 124, issue C, 179-198

Abstract: In regression models, the classical assumption of normal distribution of the random observational errors is often violated, masking some important features of the variability present in the data. Some practical actions to solve the problem, like transformation of variables to achieve normality, are often of doubtful utility. In this work we present a proposal to deal with this issue in the context of the simple linear regression model when both the response and the explanatory variable are observed with error. In such models, the experimenter observes a surrogate variable instead of the covariate of interest. We extend the classical normal model by jointly modeling the unobserved covariate and the random errors by a finite mixture of a skewed version of the Student t distribution. This approach allows us to model data with great flexibility, accommodating skewness, heavy tails and multi-modality. We develop a simple EM-type algorithm to perform maximum likelihood inference of the parameters of the proposed model, and compare the efficiency of our method with some competitors through the analysis of some artificial and real data.

Keywords: Measurement error model; Finite mixtures; EM algorithm; Skew-normal distribution; Skew-Student t distribution; Comparative calibration (search for similar items in EconPapers)
Date: 2014
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (3)

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S0047259X13002248
Full text for ScienceDirect subscribers only

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eee:jmvana:v:124:y:2014:i:c:p:179-198

Ordering information: This journal article can be ordered from
http://www.elsevier.com/wps/find/supportfaq.cws_home/regional
https://shop.elsevie ... _01_ooc_1&version=01

DOI: 10.1016/j.jmva.2013.10.017

Access Statistics for this article

Journal of Multivariate Analysis is currently edited by de Leeuw, J.

More articles in Journal of Multivariate Analysis from Elsevier
Bibliographic data for series maintained by Catherine Liu ().