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Mixture models with an improper component

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  • N. T. Longford
  • Pierpaolo D'Urso

Abstract

A class of mixture models in which a component is associated with an improper distribution is introduced. This component is intended mainly for outliers. The models are motivated by the EM algorithm, and are fitted by its simple adaptation. They are illustrated on several examples with large samples, one of them about transactions of residential properties in Wellington, New Zealand, in 2006.

Suggested Citation

  • N. T. Longford & Pierpaolo D'Urso, 2011. "Mixture models with an improper component," Journal of Applied Statistics, Taylor & Francis Journals, vol. 38(11), pages 2511-2521, January.
    • Handle: RePEc:taf:japsta:v:38:y:2011:i:11:p:2511-2521
    DOI: 10.1080/02664763.2011.559208
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    References listed on IDEAS

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    1. Nicholas Longford, 2009. "A house price index defined in the potential outcomes framework," Economics Working Papers 1175, Department of Economics and Business, Universitat Pompeu Fabra.
    2. Sylvia. Richardson & Peter J. Green, 1997. "On Bayesian Analysis of Mixtures with an Unknown Number of Components (with discussion)," Journal of the Royal Statistical Society Series B, Royal Statistical Society, vol. 59(4), pages 731-792.
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    Cited by:

    1. Jitka Bartošová & Nicholas T. Longford, 2014. "A Study of Income Stability in the Czech Republic by Finite Mixtures," Prague Economic Papers, Prague University of Economics and Business, vol. 2014(3), pages 330-348.
    2. Nicholas T. Longford, 2013. "Searching for contaminants," Journal of Applied Statistics, Taylor & Francis Journals, vol. 40(9), pages 2041-2055, September.
    3. Nicholas Longford & Pierpaolo D’Urso, 2012. "Mixtures of Autoregressions with an Improper Component for Panel Data," Journal of Classification, Springer;The Classification Society, vol. 29(3), pages 341-362, October.

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