, Volume 29, Issue 3, pp 363-401
Date: 23 Aug 2012

Local Statistical Modeling via a Cluster-Weighted Approach with Elliptical Distributions

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Abstract

Cluster-weighted modeling (CWM) is a mixture approach to modeling the joint probability of data coming from a heterogeneous population. Under Gaussian assumptions, we investigate statistical properties of CWM from both theoretical and numerical point of view; in particular, we show that Gaussian CWM includes mixtures of distributions and mixtures of regressions as special cases. Further, we introduce CWM based on Student-t distributions, which provides a more robust fit for groups of observations with longer than normal tails or noise data. Theoretical results are illustrated using some empirical studies, considering both simulated and real data. Some generalizations of such models are also outlined.

The authors sincerely thank the referees for their interesting comments and valuable suggestions. We also thank Antonio Punzo for helpful discussions.