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


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.

SUBMITTER: Lachos VH 

PROVIDER: S-EPMC3126155 | biostudies-literature | 2011 Aug

REPOSITORIES: biostudies-literature

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

Lachos Victor H VH   Bandyopadhyay Dipankar D   Garay Aldo M AM  

Statistics & probability letters 20110801 8


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 propo  ...[more]

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