Abstract

In this work, we extend standard likelihood-based procedures to the multivariate linear model using the scale mixtures of multivariate skew-normal-Cauchy distributions. A simple EM algorithm for iteratively computing maximum likelihood estimates is derived. The observed information matrix is computed analytically to account for standard errors. Some results are obtained from real and simulated datasets to illustrate the usefulness of the proposed model.

中文翻译：

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偏正态柯西分布比例混合的多元线性模型中的一些模拟/计算

摘要

在这项工作中，我们使用多元偏态-正态-柯西分布的尺度混合将标准的基于似然的程序扩展到多元线性模型。推导出了一种用于迭代计算最大似然估计的简单 EM 算法。观察到的信息矩阵是通过分析计算来解释标准误差的。一些结果是从真实和模拟数据集中获得的，以说明所提出模型的有用性。