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Estimation of linear composite quantile regression using EM algorithm

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  • Tian, Yuzhu
  • Zhu, Qianqian
  • Tian, Maozai

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.

Suggested Citation

  • Tian, Yuzhu & Zhu, Qianqian & Tian, Maozai, 2016. "Estimation of linear composite quantile regression using EM algorithm," Statistics & Probability Letters, Elsevier, vol. 117(C), pages 183-191.
    • Handle: RePEc:eee:stapro:v:117:y:2016:i:c:p:183-191
    DOI: 10.1016/j.spl.2016.05.019
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    References listed on IDEAS

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    7. Yuzhu Tian & Maozai Tian & Qianqian Zhu, 2014. "Linear Quantile Regression Based on EM Algorithm," Communications in Statistics - Theory and Methods, Taylor & Francis Journals, vol. 43(16), pages 3464-3484, August.
    8. Reich, Brian J. & Fuentes, Montserrat & Dunson, David B., 2011. "Bayesian Spatial Quantile Regression," Journal of the American Statistical Association, American Statistical Association, vol. 106(493), pages 6-20.
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    11. Jiancheng Jiang & Xuejun Jiang & Xinyuan Song, 2014. "Weighted composite quantile regression estimation of DTARCH models," Econometrics Journal, Royal Economic Society, vol. 17(1), pages 1-23, February.
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    Cited by:

    1. Wang, Shangshan & Xiang, Liming, 2017. "Two-layer EM algorithm for ALD mixture regression models: A new solution to composite quantile regression," Computational Statistics & Data Analysis, Elsevier, vol. 115(C), pages 136-154.
    2. Fengkai Yang, 2018. "A Stochastic EM Algorithm for Quantile and Censored Quantile Regression Models," Computational Economics, Springer;Society for Computational Economics, vol. 52(2), pages 555-582, August.
    3. Wang, Kangning & Li, Shaomin & Zhang, Benle, 2021. "Robust communication-efficient distributed composite quantile regression and variable selection for massive data," Computational Statistics & Data Analysis, Elsevier, vol. 161(C).
    4. Jiang, Rong & Yu, Keming, 2020. "Single-index composite quantile regression for massive data," Journal of Multivariate Analysis, Elsevier, vol. 180(C).
    5. Rong Jiang & Wei-wei Chen & Xin Liu, 2021. "Adaptive quantile regressions for massive datasets," Statistical Papers, Springer, vol. 62(4), pages 1981-1995, August.
    6. Rong Jiang & Mengxian Sun, 2022. "Single-index composite quantile regression for ultra-high-dimensional data," TEST: An Official Journal of the Spanish Society of Statistics and Operations Research, Springer;Sociedad de Estadística e Investigación Operativa, vol. 31(2), pages 443-460, June.

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