Multivariate measurement error models with normal mean-variance mixture distributions

Elham Mirfarah, Mehrdad Naderi, Tsung-I Lin, Wan-Lun Wang*

*Corresponding author for this work

Research output: Contribution to journalArticlepeer-review

1 Citation (Scopus)


The class of normal mean-variance mixture (NMVM) distributions is a rich family of asymmetric and heavy-tailed distributions and has been widely considered in parametric modeling of the data for robust statistical inference. This paper proposes an extension of measurement error models by assuming the NMVM distributions for the unobserved covariates and error terms in the model, referred to as the NMVM-MEM. An expectation conditional maximization either (ECME) algorithm is developed to compute the maximum likelihood (ML) estimates of model parameters. Furthermore, an information-based approach is performed to derive the asymptotic covariance matrix of ML estimators. The analysis of a blood pressure dataset illustrates the superiority of NMVM-MEM to accommodate asymmetry and outliers over the normal counterpart. Two simulation studies are undertaken to validate our proposed techniques.
Original languageEnglish
Article numbere503
Number of pages17
Issue number1
Publication statusPublished - 26 Dec 2022


  • EM-type algorithm
  • Generalized hyperbolic distribution
  • Measurement error model
  • Normal mean-variance mixture distribution


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