EMMIXcskew:一个正则基本偏态t分布混合拟合的R包

Sharon X. Lee, G. J. Mclachlan
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引用次数: 12

摘要

本文提出了一个R包EMMIXcskew,用于通过极大似然(ML)拟合典型基本偏态t分布(CFUST)和该分布的有限混合(FM-CFUST)。CFUST分布提供了一组灵活的模型来处理非正态数据,其中包含用于捕获数据偏度和重尾的参数。它形式上包括正态分布、t分布和偏正态分布作为特殊和/或极限情况。一些其他版本的倾斜t分布也嵌套在CFUST分布中。本文描述了一种用于计算FM-CFUST模型参数的ML估计的期望最大化(EM)算法,并讨论和说明了初始化算法的不同策略。该方法在EMMIXcskew包中实现,并使用两个真实数据集给出了示例。EMMIXcskew包包含适合FM-CFUST模型的函数,包括生成不同初始值的过程。附加功能包括随机样本生成和轮廓可视化在2D和3D。
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EMMIXcskew: an R Package for the Fitting of a Mixture of Canonical Fundamental Skew t-Distributions
This paper presents an R package EMMIXcskew for the fitting of the canonical fundamental skew t-distribution (CFUST) and finite mixtures of this distribution (FM-CFUST) via maximum likelihood (ML). The CFUST distribution provides a flexible family of models to handle non-normal data, with parameters for capturing skewness and heavy-tails in the data. It formally encompasses the normal, t, and skew-normal distributions as special and/or limiting cases. A few other versions of the skew t-distributions are also nested within the CFUST distribution. In this paper, an Expectation-Maximization (EM) algorithm is described for computing the ML estimates of the parameters of the FM-CFUST model, and different strategies for initializing the algorithm are discussed and illustrated. The methodology is implemented in the EMMIXcskew package, and examples are presented using two real datasets. The EMMIXcskew package contains functions to fit the FM-CFUST model, including procedures for generating different initial values. Additional features include random sample generation and contour visualization in 2D and 3D.
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