Multivariate cluster-weighted models based on seemingly unrelated linear regression

Abstract

A class of cluster-weighted models for a vector of continuous random variables is proposed. This class provides an extension to cluster-weighted modelling of multivariate and correlated responses that let the researcher free to use a different vector of covariates for each response. The class also includes parsimonious models obtained by imposing suitable constraints on the component-covariance matrices of either the responses or the covariates. Conditions for model identifiability are illustrated and discussed. Maximum likelihood estimation is carried out by means of an expectation-conditional maximisation algorithm. The effectiveness and usefulness of the proposed models are shown through the analysis of simulated and real datasets.