regaep

Estimates parameters of the multiple linear regression model through EM algorithm when error term follows AEP distribution. The regression model is given by
$$y_{i}=\beta_{0}+\beta_{1} x_{i1}+\cdots+ \beta_{k} x_{ik}+\nu_{i},~ i=1,\cdots,n,$$
where ${\boldsymbol{\beta}}=\bigl(\beta_{0},\beta_{1},\cdots,\beta_{k}\bigr)^{T}$ are the
regression coefficients and $\nu_i$ is the error term follows a zero-location AEP distibution.

Developed for Computing the probability density function, cumulative
distribution function, random generation, estimating the parameters of asymmetric
exponential power distribution, and robust regression analysis with error
term that follows asymmetric exponential power distribution. The asymmetric
exponential power distribution studied here is a special case of that introduced
by Dongming and Zinde-Walsh (2009) <doi:10.1016/j.jeconom.2008.09.038>.

Mahdi Teimouri

Statistical Modelling for Asymmetric Exponential Power
Distribution

regaep function

<dl><dt>y</dt>
<dd>Vector of response observations of length $n$.</dd><dt>x</dt>
<dd>An $n\times k$ array of covariate(s).</dd></dl>

Arguments

Author

Robust linear regression analysis when error term follows AEP distribution — regaep

<dl>

<dt>y</dt>
<dd>Vector of response observations of length $n$.</dd>

<dt>x</dt>
<dd>An $n\times k$ array of covariate(s).</dd>

</dl>

regaep: Robust linear regression analysis when error term follows AEP distribution

Description

Usage

Value

Arguments

Author

References

Examples