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URN:
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http://URN.fi/URN:NBN:fi:tty-201203301089
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Title:
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Robust Multivariate Linear Regression Using the Student-t Distribution |
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Author:
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Piche, Robert |
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Issue date:
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2011-05-31 |
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University:
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Tampereen teknillinen yliopisto - Tampere University of Technology |
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Faculty:
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Luonnontieteiden ja ympäristötekniikan tiedekunta – Faculty of Science and Environmental Engineering |
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Department:
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Matematiikan laitos – Department of Mathematics |
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Abstract:
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This brief report documents the Matlab function MVSREGRESS for multivariate linear regression based on the Student-t distribution. Student-t regression is more robust (less sensitive to occasional extreme observations) than normal (gaussian) linear regression. The report describes the statistical model and the ECM algorithm used to compute the maximum a-posteriori estimate of the model parameters. Two examples are presented to illustrate the robustness of Student regression compared to Normal regression. |
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Copyright:
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This publication is copyrighted. You may download, display and print it for Your own personal use. Commercial use is prohibited. |