Heteroscedastic nonlinear regression models based on scale mixtures of skew-normal distributions

Victor H. Lachos, Dipankar Bandyopadhyay and Aldo M. Garay

Statistics & Probability Letters, 2011, vol. 81, issue 8, 1208-1217

Abstract: An extension of some standard likelihood based procedures to heteroscedastic nonlinear regression models under scale mixtures of skew-normal (SMSN) distributions is developed. We derive a simple EM-type algorithm for iteratively computing maximum likelihood (ML) estimates and the observed information matrix is derived analytically. Simulation studies demonstrate the robustness of this flexible class against outlying and influential observations, as well as nice asymptotic properties of the proposed EM-type ML estimates. Finally, the methodology is illustrated using an ultrasonic calibration data.

Keywords: EM; algorithm; Homogeneity; Nonlinear; regression; models; Scale; mixtures; Skew-normal (search for similar items in EconPapers)
Date: 2011
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Citations: View citations in EconPapers (5)

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