Robust mixture multivariate linear regression by multivariate Laplace distribution

Xiongya Li, Xiuqin Bai and Weixing Song

Statistics & Probability Letters, 2017, vol. 130, issue C, 32-39

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: Finite mixtures; Multivariate linear regression; Robust estimation; Multivariate Laplace distribution; EM algorithm (search for similar items in EconPapers)
Date: 2017
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Citations: View citations in EconPapers (1)

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DOI: 10.1016/j.spl.2017.06.028

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