EM estimation of generalized t distributions
Wang Hui-zhan · Journal of Shaanxi University of Technology · 2011
Under the assumption that the degree of freedom parameter(df) of the generalized t distributions is unknown,the maximum likelihood estimator(MLE) of df does not exist,the moment estimator is inconsistent with MLE.The generalized t distributions are an infinite mixture of Normal distribution from incomplete data perspectives.The hierarchical bayesian models of the generalized t distributions were discussed,and the expectations of two latent variables were obtained.The EM-type algorithm of the generalized t distributions were discussed on the estimated standard errors,a simulation study was conducted to assess the performance of proposed methods.Simulation results confirm the problems of the degree of freedom parameter in the case of small samples and larger samples.