Robust Multivariate Linear Regression Using the Student-t Distribution
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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.