Multivariate linear regression with non-normal errors: a solution based on mixture models

In some situations, the distribution of the error terms of a multivariate linear regression model may depart from normality. This problem has been addressed, for example, by specifying a different parametric distribution family for the error terms, such as multivariate skewed and/or heavy-tailed distributions. A new solution is proposed, which is obtained by modelling the error term distribution through a finite mixture of multi-dimensional Gaussian components. The multivariate linear regression model is studied under this assumption. Identifiability conditions are proved and maximum likelihood estimation of the model parameters is performed using the EM algorithm. The number of mixture components is chosen through model selection criteria; when this number is equal to one, the proposal results in the classical approach. The performances of the proposed approach are evaluated through Monte Carlo experiments and compared to the ones of other approaches. In conclusion, the results obtained from the analysis of a real dataset are presented.