Title: Applications of scale mixtures in the exponential family
Authors: Frans Kanfer - University of Pretoria (South Africa) [presenting]
Sollie Millard - University of Pretoria (South Africa)
Mohammad Arashi - Shahrood University of Technology (Iran)
Abstract: Robust mixtures of scale mixtures of distributions from the exponential family are considered, specifically, mixtures of scale mixtures of Gaussian distributions. Estimating parameters using the EM algorithm is discussed. Selecting the mixing distribution a gamma distribution results in a mixture of $t$ distributions. Regression based on mixtures of scale mixtures of Gaussian distributions is considered. An industry case study, using mixture regression with $t$ distribution errors is discussed.