The proposed multiple scaled contaminated asymmetric Laplace (MSCAL) distribution is an extension of the multivariate asymmetric Laplace distribution to allow for a different excess kurtosis on each dimension and for more flexible shapes of the hyper-contours. These peculiarities are obtained by working on the principal component (PC) space. The structure of the MSCAL distribution has the further advantage of allowing for automatic PC-wise outlier detection – i.e., detection of outliers separately on each PC – when convenient constraints on the parameters are imposed. The MSCAL is fitted using a Monte Carlo expectation-maximization (MCEM) algorithm that uses a Monte Carlo method to estimate the orthogonal matrix of eigenvectors. A simulation study is used to assess the proposed MCEM in terms of computational efficiency and parameter recovery. In a real data application, the MSCAL is fitted to a real data set containing the anthropometric measurements of monozygotic/dizygotic twins. Both a skewed bivariate subset of the full data, perturbed by some outlying points, and the full data are considered.

Tortora, C., Franczak, B. C., Bagnato, L., Punzo, A., A Laplace-based model with flexible tail behavior, <<COMPUTATIONAL STATISTICS & DATA ANALYSIS>>, 2024; 192 (192): 1-19. [doi:10.1016/j.csda.2023.107909] [https://hdl.handle.net/10807/277397]

A Laplace-based model with flexible tail behavior

Bagnato, Luca
Penultimo
;
2024

Abstract

The proposed multiple scaled contaminated asymmetric Laplace (MSCAL) distribution is an extension of the multivariate asymmetric Laplace distribution to allow for a different excess kurtosis on each dimension and for more flexible shapes of the hyper-contours. These peculiarities are obtained by working on the principal component (PC) space. The structure of the MSCAL distribution has the further advantage of allowing for automatic PC-wise outlier detection – i.e., detection of outliers separately on each PC – when convenient constraints on the parameters are imposed. The MSCAL is fitted using a Monte Carlo expectation-maximization (MCEM) algorithm that uses a Monte Carlo method to estimate the orthogonal matrix of eigenvectors. A simulation study is used to assess the proposed MCEM in terms of computational efficiency and parameter recovery. In a real data application, the MSCAL is fitted to a real data set containing the anthropometric measurements of monozygotic/dizygotic twins. Both a skewed bivariate subset of the full data, perturbed by some outlying points, and the full data are considered.
2024
Inglese
Tortora, C., Franczak, B. C., Bagnato, L., Punzo, A., A Laplace-based model with flexible tail behavior, <<COMPUTATIONAL STATISTICS & DATA ANALYSIS>>, 2024; 192 (192): 1-19. [doi:10.1016/j.csda.2023.107909] [https://hdl.handle.net/10807/277397]
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Utilizza questo identificativo per citare o creare un link a questo documento: https://hdl.handle.net/10807/277397
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