[ABE-L] Seminário do Programa de Pós-Graduação em Estatística da UFPE - 2015

[Francisco Cysneiros]

Seminário do Programa de Pós-Graduação em Estatística da UFPE - 2015

"Linear censored regression models with scale mixtures of normal
distributions"

Palestrante : Aldo William Medina Garay
                     Departamento de Estatística - UFPE

 Joint work with Victor H. Lachos (IMECC-UNICAMP),  Heleno Bolfarine
(IME-USP) and· Celso R. B. Cabral (DE-UFAM)



Data: 18 de novembro de 2015 (quarta-feira)

Horário: 16:00 horas

Local: Auditório Ruy Gomes - Departamento de Estatística da UFPE,
Segundo andar do CCEN

Resumo:
In the framework of censored regression models the random errors are
routinely assumed to have a normal distribution, mainly formathematical
convenience.
However, this method has been criticized in the literature because of its
sensitivity to deviations from the normality assumption. Here, we first
establish a new link between the censored regression model and a recently
studied class of symmetric distributions, which extend the normal one by
the inclusion of kurtosis, called scale mixtures of normal (SMN)
distributions. The Student-t, Pearson type VII, slash, contaminated normal,
among others distributions, are contained in this class. 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. In this work, we
develop an analytically simple and efficient EM-type algorithm for
iteratively computing maximum likelihood estimates of the parameters, with
standard errors as a by-product. The algorithm has closedform expressions
at the E-step, that rely on formulas for the mean and variance of certain
truncated SMN distributions. The proposed algorithm is implemented in the R
package SMNCensReg. Applications with simulated and a real data set are
reported, illustrating the usefulness of the new methodology.


-- 
Francisco José A. Cysneiros
Associate professor
Head of the Graduate Program in Statistics
Departament of Statistics - UFPE
www.de.ufpe.br/~cysneiros
*http:/lattes.cnpq.br/1313497098151734
<http://lattes.cnpq.br/1313497098151734>*
*ResearchedId G-633-2012 <http://www.researcherid.com/rid/G-6333-2012>*
*ORCID <http://orcid.org/0000-0001-6757-6969>*
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