Likelihood-based inference for linear mixed-effects models using the generalized hyperbolic distribution

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dc.article.numbere602
dc.catalogadoraba
dc.contributor.authorLachos, Victor H.
dc.contributor.authorGalea Rojas, Manuel Jesús
dc.contributor.authorZeller, Camila
dc.contributor.authorPrates, Marcos O.
dc.date.accessioned2024-04-18T22:00:35Z
dc.date.available2024-04-18T22:00:35Z
dc.date.issued2023
dc.description.abstractIn this paper, we develop statistical methodology for the analysis of data under nonnormal distributions, in the context of mixed effects models. Although the multivariate normal distribution is useful in many cases, it is not appropriate, for instance, when the data come from skewed and/or heavy-tailed distributions. To analyse data with these characteristics, in this paper, we extend the standard linear mixed effects model, considering the family of generalized hyperbolic distributions. We propose methods for statistical inference based on the likelihood function, and due to its complexity, the EM algorithm is used to find the maximum likelihood estimates with the standard errors and the exact likelihood value as a by-product. We use simulations to investigate the asymptotic properties of the expectation-maximization algorithm (EM) estimates and prediction accuracy. A real example is analysed, illustrating the usefulness of the proposed methods.
dc.description.funderUConn ‐ CLAS
dc.description.funderUConn
dc.description.funderCLAS
dc.description.funderCAPES
dc.description.funderCNPq
dc.description.funderFAPEMIG
dc.fuente.origenScopus
dc.fuente.origenORIGEN
dc.identifier.doi10.1002/sta4.602
dc.identifier.issn2049-1573
dc.identifier.scopusidSCOPUS_ID:85168467781
dc.identifier.urihttps://doi.org/10.1002/sta4.602
dc.identifier.urihttps://repositorio.uc.cl/handle/11534/85247
dc.information.autorucFacultad de Matemáticas; Galea Rojas, Manuel Jesús; 0000-0001-9819-5843; 1008589
dc.language.isoen
dc.pagina.final16
dc.pagina.inicio1
dc.publisherJohn Wiley and Sons Inc
dc.revistaStat
dc.rightsacceso restringido
dc.subjectEM algorithm
dc.subjectgeneralized hyperbolic distribution
dc.subjectheavy-tailed distributions
dc.subjectlinear mixed-effects models
dc.subject.ddc510
dc.subject.deweyMatemática física y químicaes_ES
dc.titleLikelihood-based inference for linear mixed-effects models using the generalized hyperbolic distribution
dc.typeartículo
dc.volumen12
sipa.codpersvinculados1008589
sipa.trazabilidadSCOPUS;2023-09-03
sipa.trazabilidadORCID;2024-04-15
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