A note on the Gao et al. (2019) uniform mixture model in the case of regression
Efthymios G. Tsionas, Athanasios Andrikopoulos · Annals of Operations Research · 2019
Abstract We extend the uniform mixture model of Gao et al. (Ann Oper Res, 2019. 10.1007/s10479-019-03236-9 ) to the case of linear regression. Gao et al. (Ann Oper Res, 2019. 10.1007/s10479-019-03236-9 ) proposed that to characterize the probability distributions of multimodal and irregular data observed in engineering, a uniform mixture model can be used. This model is a weighted combination of multiple uniform distribution components. This case is of empirical interest since, in many instances, the distribution of the error term in a linear regression model cannot be assumed unimodal. Bayesian methods of inference organized around Markov chain Monte Carlo are proposed. In a Monte Carlo experiment, significant efficiency gains are found in comparison to least squares justifying the use of the uniform mixture model.