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A skew factor analysis model based on the normal mean-variance mixture of Birnbaum-Saunders distribution. (English) Zbl 1521.62352

Summary: This paper presents a robust extension of factor analysis model by assuming the multivariate normal mean-variance mixture of Birnbaum-Saunders distribution for the unobservable factors and errors. A computationally analytical EM-based algorithm is developed to find maximum likelihood estimates of the parameters. The asymptotic standard errors of parameter estimates are derived under an information-based paradigm. Numerical merits of the proposed methodology are illustrated using both simulated and real datasets.

MSC:

62-XX Statistics
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