ECM Algorithm for Fitting of Mixtures of Multivariate Skew t-Distribution

- Journal title : Communications for Statistical Applications and Methods
- Volume 19, Issue 5, 2012, pp.673-683
- Publisher : The Korean Statistical Society
- DOI : 10.5351/CKSS.2012.19.5.673

Title & Authors

ECM Algorithm for Fitting of Mixtures of Multivariate Skew t-Distribution

Kim, Seung-Gu;

Kim, Seung-Gu;

Abstract

Cabral et al. (2012) defined a mixture model of multivariate skew t-distributions(STMM), and proposed the use of an ECME algorithm (a variation of a standard EM algorithm) to fit the model. Their estimation by the ECME algorithm is closely related to the estimation of the degree of freedoms in the STMM. With the ECME, their purpose is to escape from the calculation of a conditional expectation that is not provided by a closed form; however, their estimates are quite unstable during the procedure of the ECME algorithm. In this paper, we provide a conditional expectation as a closed form so that it can be easily calculated; in addition, we propose to use the ECM algorithm in order to stably fit the STMM.

Keywords

Multivariate skew t-distribution;mixture model;ECME algorithm;ECM algorithm;estimation of degree of freedom;

Language

Korean

Cited by

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