Regularized multivariate regression models with skew-t error distributions
نویسندگان
چکیده
منابع مشابه
Regularized multivariate regression models with skew-t error distributions
We consider regularization of the parameters in multivariate linear regression models with the errors having a multivariate skew-t distribution. An iterative penalized likelihood procedure is proposed for constructing sparse estimators of both the regression coefficient and inverse scale matrices simultaneously. The sparsity is introduced through penalizing the negative log-likelihood by adding...
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ژورنال
عنوان ژورنال: Journal of Statistical Planning and Inference
سال: 2014
ISSN: 0378-3758
DOI: 10.1016/j.jspi.2014.02.001