TY  - JOUR
TI  - Robust Regression Using the t-distribution and the EM Algorithm
T2  - HSE Economic Journal 
IS  - HSE Economic Journal 
KW  - Robust regression
KW  - Multivariate t-distribution
KW  - EM algorithm
AB  - The paper deals with a linear regression model. The EM algorithm is popular tool for maximum likelihood estimation of the parameters of regression model. It provides a method of robust regression under the assumption that the disturbances are independent and have identical multivariate t distribution.Previous work focused on the method of maximum likelihood estimation via the EM algorithm under the assumption that the degrees of freedom parameter of the t distribution is a scalar. In this paper, a broader assumption is employed, namely, that the disturbances have a multivariate t distribution with a vector of degrees of freedom. Missing values from the EM algorithm are random matrices.The theoretical results are illustrated in a simulation experiment using several distributions for the error process. Robust procedures are shown to be superior to the method of least squares.
AU  - Alexey Shvedov
UR  - https://ej.hse.ru/en/2011-15-1/38503187.html
PY  - 2011
SP  - 68-87
VL  - 15