Penalized Maximum Likelihood Method to a Class of Skewness Data Analysis

Abstract EN

An extension of some standard likelihood and variable selection criteria based on procedures of linear regression models under the skew-normal distribution or the skew- t distribution is developed.

This novel class of models provides a useful generalization of symmetrical linear regression models, since the random term distributions cover both symmetric as well as asymmetric and heavy-tailed distributions.

A generalized expectation-maximization algorithm is developed for computing the l 1 penalized estimator.

Efficacy of the proposed methodology and algorithm is demonstrated by simulated data.