L773:0361 0918 OR L773:1532 4141
Search: L773:0361 0918 OR L773:1532 4141 > Quantile regression...
- 9 of 68
- Previous record
- Next record
- To hitlist
Quantile regression based on the skewed exponential power distribution
-
- Arnroth, Lukas (author)
- Department of Statistics, Uppsala University, Uppsala, Sweden
-
- Vegelius, Johan (author)
- Department of Statistics, Uppsala University, Uppsala, Sweden
- (creator_code:org_t)
- 2023
- 2023
- English.
- In: Communications in statistics. Simulation and computation. - 0361-0918 .- 1532-4141. ; , s. 1-17
- Journal article (peer-reviewed)
Abstract
Subject headings
Close
- Bayesian quantile regression generally relies on the asymmetric Laplace distribution (ALD) as the error distribution. We consider methods for Lp-quantile regression based on the skewed exponential power distribution (SEPD). Both Bayesian and frequentist estimation procedures are outlined and compared with previous work based on the SEPD. We find that our proposed methods greatly outperform a previous method in terms of quantile estimation. Further, compared with standard quantile regression, we find that our proposed methods generally perform better in terms of root mean square error (RMSE). Empirical evidence of the statistical properties of the proposed models is provided through a simulation study. Further, a real data application illustrates their performance.
Subject headings
- NATURVETENSKAP -- Matematik -- Sannolikhetsteori och statistik (hsv//swe)
- NATURAL SCIENCES -- Mathematics -- Probability Theory and Statistics (hsv//eng)
Keyword
- Lp-quantiles
- Markov Chain Monte Carlo
Publication and Content Type
- ref (subject category)
- art (subject category)
Find in a library
- Communications in statistics. Simulation and computation (Search for host publication in LIBRIS)
To the university's database
- 9 of 68
- Previous record
- Next record
- To hitlist
Find more in SwePub
- By the author/editor
- Arnroth, Lukas
- Vegelius, Johan
- About the subject
-
- NATURAL SCIENCES
- NATURAL SCIENCES
- and Mathematics
- and Probability Theo ...
- Articles in the publication
- Communications i ...
- By the university
- Uppsala University
Search outside SwePub
- Extend your search to:
- Google Book Search
- Google Scholar
Kungliga biblioteket hanterar dina personuppgifter i enlighet med EU:s dataskyddsförordning (2018), GDPR. Läs mer om hur det funkar här.
Så här hanterar KB dina uppgifter vid användning av denna tjänst.
- Copyright © LIBRIS - National Library Systems
- LIBRIS.kb.se
