Please use this identifier to cite or link to this item: http://repositorio.unicamp.br/jspui/handle/REPOSIP/320501
Type: Artigo de Periódico
Title: Nonlinear Censored Regression Models With Heavy-tailed Distributions
Author: Garay
AM; Lachos
VH; Lin
TI
Abstract: In the framework of censored nonlinear regression models, the random errors are routinely assumed to have a normal distribution, mainly for mathematical convenience. However, this method has been criticized in the literature due to its sensitivity to deviations from the normality assumption. In practice, data such as income or viral load in AIDS studies, often violate this assumption because of heavy tails. In this paper, we establish a link between the censored nonlinear regression model and a recently studied class of symmetric distributions, which extends the normal one by the inclusion of kurtosis, called scale mixtures of normal (SMN) distributions. The Student-t, Pearson type VII, slash and contaminated normal, among others distributions, are contained in this class. Choosing a member of this class can be a good alternative to model this kind of data, because they have been shown its flexibility in several applications. We develop an analytically simple and efficient EM-type algorithm for iteratively computing maximum likelihood estimates of model parameters together with standard errors as a by-product. The algorithm uses nice expressions at the E-step, relying on formulae for the mean and variance of truncated SMN distributions. The usefulness of the proposed methodology is illustrated through applications to simulated and real data.
Subject: Censored Nonlinear Regression Model
Em-type Algorithms
Scale Mixtures Of Normal Distributions
Outliers
Editor: INT PRESS BOSTON, INC
Citation: Statistics And Its Interface. INT PRESS BOSTON, INC, n. 9, n. 3, p. 281 - 293.
Rights: fechado
Identifier DOI: 10.4310/SII.2016.v9.n3.a3
Address: http://intlpress.com/site/pub/pages/journals/items/sii/content/vols/0009/0003/a003/index.html
Date Issue: 2016
Appears in Collections:Unicamp - Artigos e Outros Documentos

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