A generalized quantile regression model

被引：5

作者：

Nassiri, Vahid ^{[1
]}

Loris, Ignace ^{[2
]}

机构：

[1] Vrije Univ Brussel, Dept Math, Brussels, Belgium

[2] Univ Libre Bruxelles, Dept Math, Brussels, Belgium

来源：

JOURNAL OF APPLIED STATISTICS | 2013年 / 40卷 / 05期

关键词：

quantile regression; log-concave density; penalization; soft thresholding; outlier; long tail; THRESHOLDING ALGORITHM; SHRINKAGE; PROBABILITY; STATISTICS; HISTORY;

D O I：

10.1080/02664763.2013.780158

中图分类号：

O21 [概率论与数理统计]; C8 [统计学];

学科分类号：

020208 ; 070103 ; 0714 ;

摘要：

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.

引用

页码：1090 / 1105

页数：16

共 50 条

[1] An integrated maximum score estimator for a generalized censored quantile regression model
Chen, Songnian
JOURNAL OF ECONOMETRICS, 2010, 155 (01) : 90 - 98
[2] A generalized Newton algorithm for quantile regression models
Zheng, Songfeng
COMPUTATIONAL STATISTICS, 2014, 29 (06) : 1403 - 1426
[3] A generalized Newton algorithm for quantile regression models
Songfeng Zheng
Computational Statistics, 2014, 29 : 1403 - 1426
[4] Confidence Corridors for Multivariate Generalized Quantile Regression
Chao, Shih-Kang
Proksch, Katharina
Dette, Holger
Haerdle, Wolfgang Karl
JOURNAL OF BUSINESS & ECONOMIC STATISTICS, 2017, 35 (01) : 70 - 85
[5] An Individual Risk Model for Premium Calculation Based on Quantile: A Comparison between Generalized linear Models and Quantile Regression
Baione, Fabio
Biancalana, Davide
NORTH AMERICAN ACTUARIAL JOURNAL, 2019, 23 (04) : 573 - 590
[6] Generalized linear mixed quantile regression with panel data
Lu, Xiaoming
Fan, Zhaozhi
PLOS ONE, 2020, 15 (08):
[7] On generalized elliptical quantiles in the nonlinear quantile regression setup
Hlubinka, Daniel
Siman, Miroslav
TEST, 2015, 24 (02) : 249 - 264
[8] Quantile regression via vector generalized additive models
Yee, TW
STATISTICS IN MEDICINE, 2004, 23 (14) : 2295 - 2315
[9] Value at risk estimation based on generalized quantile regression
Wang, Yongqiao
2009 IEEE INTERNATIONAL CONFERENCE ON INTELLIGENT COMPUTING AND INTELLIGENT SYSTEMS, PROCEEDINGS, VOL 1, 2009, : 674 - 678
[10] On generalized elliptical quantiles in the nonlinear quantile regression setup
Daniel Hlubinka
Miroslav Šiman
TEST, 2015, 24 : 249 - 264

← 1 2 3 4 5 →