Estimation of linear composite quantile regression using EM algorithm

Yuzhu Tian, Qianqian Zhu and Maozai Tian

Statistics & Probability Letters, 2016, vol. 117, issue C, 183-191

Abstract: By incorporating the Expectation–maximization (EM) algorithm into composite asymmetric Laplace distribution (CALD), an iterative weighted least square estimator for the linear composite quantile regression (CQR) models is derived. Two selection methods for the number of composite quantiles via redefined AIC and BIC are developed. Finally, the proposed procedures are illustrated by some simulations.

Keywords: CALD; Composite quantile regression; EM algorithm; AIC (Akaike’s information criterion); BIC (Bayesian information criterion) (search for similar items in EconPapers)
Date: 2016
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Citations: View citations in EconPapers (6)

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DOI: 10.1016/j.spl.2016.05.019

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