A0390
Title: Simple EM algorithm for Cauchy-type distributions
Authors: Toshihiro Abe - Hosei University (Japan) [presenting]
Masahiro Kuroda - Okayama University of Science (Japan)
Abstract: An explicit expression of the EM algorithm is considered for the distribution defined by the Cauchy-type distributions. The main idea is developed by making use of the exponential distribution structure, from which a general estimator function is then derived. The explicit forms of the EM algorithm for the Cauchy, log-Cauchy and other Cauchy-type distributions are derived as examples. The simple updated formula of a skew-$t$ distribution is also tackled, as well as its finite mixture and regression models.
