Robust mixture linear EIV regression models by t-distribution

TL;DRAbstract

A robust estimation procedure for mixture errors-in-variables linear regression models is proposed in the report by assuming the error terms follow a t-distribution.The estimation procedure is implemented by an EM algorithm based on the fact that the t-distribution is a scale mixture of normal distribution and a Gamma distribution.Finite sample performance of the proposed algorithm is evaluated by some extensive simulation studies.Comparison is also made with the MLE procedure under normality assumption.

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