Title
The skew-t censored regression model: parameter estimation via an EM-type algorithm
Date Issued
01 January 2022
Access level
open access
Resource Type
journal article
Author(s)
Universidade of Sao Paulo
Pontificia Universidad Catolica de Chile
Publisher(s)
Korean Statistical Society
Abstract
The skew-t distribution is an attractive family of asymmetrical heavy-tailed densities that includes the normal, skew-normal and Student’s-t distributions as special cases. In this work, we propose an EM-type algorithm for computing the maximum likelihood estimates for skew-t linear regression models with censored response. In contrast with previous proposals, this algorithm uses analytical expressions at the E-step, as opposed to Monte Carlo simulations. These expressions rely on formulas for the mean and variance of a truncated skew-t distribution, and can be computed using the R library MomTrunc. The standard errors, the prediction of unobserved values of the response and the log-likelihood function are obtained as a by-product. The proposed methodology is illustrated through the analyses of simulated and a real data application on Letter-Name Fluency test in Peruvian students.
Start page
333
End page
351
Volume
29
Issue
3
Language
English
OCDE Knowledge area
Estadísticas, Probabilidad Matemáticas
Scopus EID
2-s2.0-85132335209
Source
Communications for Statistical Applications and Methods
ISSN of the container
22877843
Sponsor(s)
We thank the associate editor and two anonymous referees for their important comments and suggestions which lead to an improvement of this paper. Jorge L. Bazán acknowledges support from FAPESP-Brazil (Grant 2021/11720-0). L. M. Castro acknowledges support from Grant FONDECYT 1220799 from the Chilean government.
Sources of information: Directorio de Producción Científica Scopus