Robust mixture modeling using multivariate skew t distributions

Authors:
Tsung-I Lin
Affiliations:
Department of Applied Mathematics and Institute of Statistics, National Chung Hsing University, Taichung, Taiwan 402
Venue:
Statistics and Computing
Year:
2010

Citing 6
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Abstract

This paper presents a robust mixture modeling framework using the multivariate skew t distributions, an extension of the multivariate Student's t family with additional shape parameters to regulate skewness. The proposed model results in a very complicated likelihood. Two variants of Monte Carlo EM algorithms are developed to carry out maximum likelihood estimation of mixture parameters. In addition, we offer a general information-based method for obtaining the asymptotic covariance matrix of maximum likelihood estimates. Some practical issues including the selection of starting values as well as the stopping criterion are also discussed. The proposed methodology is applied to a subset of the Australian Institute of Sport data for illustration.