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Robust multivariate mixture regression models with incomplete data. (English) Zbl 07191941
Summary: Multivariate mixture regression models can be used to investigate the relationships between two or more response variables and a set of predictor variables by taking into consideration unobserved population heterogeneity. It is common to take multivariate normal distributions as mixing components, but this mixing model is sensitive to heavy-tailed errors and outliers. Although normal mixture models can approximate any distribution in principle, the number of components needed to account for heavy-tailed distributions can be very large. Mixture regression models based on the multivariate \(t\) distributions can be considered as a robust alternative approach. Missing data are inevitable in many situations and parameter estimates could be biased if the missing values are not handled properly. In this paper, we propose a multivariate \(t\) mixture regression model with missing information to model heterogeneity in regression function in the presence of outliers and missing values. Along with the robust parameter estimation, our proposed method can be used for (i) visualization of the partial correlation between response variables across latent classes and heterogeneous regressions, and (ii) outlier detection and robust clustering even under the presence of missing values. We also propose a multivariate \(t\) mixture regression model using MM-estimation with missing information that is robust to high-leverage outliers. The proposed methodologies are illustrated through simulation studies and real data analysis.
MSC:
62 Statistics
Software:
Algorithm 39
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