A New Algorithm using Component-wise Adaptive Trimming For Robust Mixture Regression
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Mixture regression provides a statistical model for teasing out latent heterogeneous relationships between response and independent variables. Solving mixture regression relying on EM algorithm is highly sensitive to outliers. To enable simultaneous outlier detection and robust parameter estimation, we proposed a fast and efficient robust mixture regression algorithm, considering Component-wise Adaptive Trimming (CAT). Compared with multiple existing algorithms, it grasps a good balance of computational efficiency and robustness, in different scenarios of simulated data, where unequal component proportions and variances, different levels of outlier contaminations and sample sizes, occur. The adaptive trimming ability of CAT makes it a highly potential tool for mining the latent relationships among variables in the big data era. CAT has been implemented in an R package 'RobMixReg' available in CRAN.
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