A generalized quantile regression model

Vahid Nassiri and Ignace Loris

Journal of Applied Statistics, 2013, vol. 40, issue 5, 1090-1105

Abstract: A new class of probability distributions, the so-called connected double truncated gamma distribution, is introduced. We show that using this class as the error distribution of a linear model leads to a generalized quantile regression model that combines desirable properties of both least-squares and quantile regression methods: robustness to outliers and differentiable loss function.

Date: 2013
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DOI: 10.1080/02664763.2013.780158

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