Censored autoregressive regression models with Student-$t$ innovations (2110.00224v2)

Abstract: The Student-$t$ distribution is widely used in statistical modeling of datasets involving outliers since its longer-than-normal tails provide a robust approach to hand such data. Furthermore, data collected over time may contain censored or missing observations, making it impossible to use standard statistical procedures. This paper proposes an algorithm to estimate the parameters of a censored linear regression model when the regression errors are autocorrelated and the innovations follow a Student-$t$ distribution. To fit the proposed model, maximum likelihood estimates are obtained throughout the SAEM algorithm, which is a stochastic approximation of the EM algorithm useful for models in which the E-step does not have an analytic form. The methods are illustrated by the analysis of a real dataset that has left-censored and missing observations. We also conducted two simulations studies to examine the asymptotic properties of the estimates and the robustness of the model.