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Elsevier, Computational Statistics & Data Analysis, (71), p. 116-127, 2014

DOI: 10.1016/j.csda.2013.07.019

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Robust mixture regression using the t-distribution

Journal article published in 2014 by Weixin Yao ORCID, Yan Wei, Chun Yu
This paper was not found in any repository, but could be made available legally by the author.
This paper was not found in any repository, but could be made available legally by the author.

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Abstract

The traditional estimation of mixture regression models is based on the normal assumption of component errors and thus is sensitive to outliers or heavy-tailed errors. A robust mixture regression model based on the t-distribution by extending the mixture of t-distributions to the regression setting is proposed. However, this proposed new mixture regression model is still not robust to high leverage outliers. In order to overcome this, a modified version of the proposed method, which fits the mixture regression based on the t-distribution to the data after adaptively trimming high leverage points, is also proposed. Furthermore, it is proposed to adaptively choose the degrees of freedom for the t-distribution using profile likelihood. The proposed robust mixture regression estimate has high efficiency due to the adaptive choice of degrees of freedom.