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Quantile regression...
Quantile regression based on the skewed exponential power distribution
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- Arnroth, Lukas (author)
- Department of Statistics, Uppsala University, Uppsala, Sweden
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- Vegelius, Johan (author)
- Department of Statistics, Uppsala University, Uppsala, Sweden
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(creator_code:org_t)
- 2023
- 2023
- English.
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In: Communications in statistics. Simulation and computation. - 0361-0918 .- 1532-4141. ; , s. 1-17
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https://urn.kb.se/re...
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Abstract
Subject headings
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- 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)
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