Review Articles

Variable selection in finite mixture of median regression models using skew-normal distribution

Xin Zeng ,

Faculty of Science, Kunming University of Science and Technology, Kunming, People's Republic of China;b School of Economics, Xiamen University, Xiamen, People's Republic of China

Yuanyuan Ju ,

Faculty of Science, Kunming University of Science and Technology, Kunming, People's Republic of China

Liucang Wu

Faculty of Science, Kunming University of Science and Technology, Kunming, People's Republic of China

wuliucang@163.com

Pages | Received 18 Apr. 2021, Accepted 25 Jul. 2022, Published online: 06 Aug. 2022,
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A regression model with skew-normal errors provides a useful extension for traditional normal regression models when the data involve asymmetric outcomes. Moreover, data that arise from a heterogeneous population can be efficiently analysed by a finite mixture of regression models. These observations motivate us to propose a novel finite mixture of median regression model based on a mixture of the skew-normal distributions to explore asymmetrical data from several subpopulations. With the appropriate choice of the tuning parameters, we establish the theoretical properties of the proposed procedure, including consistency for variable selection method and the oracle property in estimation. A productive nonparametric clustering method is applied to select the number of components, and an efficient EM algorithm for numerical computations is developed. Simulation studies and a real data set are used to illustrate the performance of the proposed methodologies.

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To cite this article: Xin Zeng, Yuanyuan Ju & Liucang Wu (2022): Variable selection in finite mixture of median regression models using skew-normal distribution, Statistical Theory and Related Fields, DOI: 10.1080/24754269.2022.2107974

To link to this article: https://doi.org/10.1080/24754269.2022.2107974