A gradient search maximization algorithm for the asymmetric Laplace likelihood

DOI10.1080/00949655.2014.908879MaRDI QIDQ5220837zbMATH OpenOpenAlexFDO

Authors Matteo Bottai, Nicola Orsini, Marco Geraci

Publication date 27 March 2020

Published in Journal of Statistical Computation and Simulation (Search for Journal in Brave)

Full work available at URL https://discovery.ucl.ac.uk/id/eprint/1424872/

zbMATH Keywords

asymmetric Laplace distributiondirect search optimization algorithmsLaplace regressionmixed-effects quantile regressionquantile regression

Mathematics Subject Classification ID

Computational methods for problems pertaining to statistics (62-08)

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Cites work

• Bayesian quantile regression for longitudinal studies with nonignorable missing data
• Goodness of Fit and Related Inference Processes for Quantile Regression
• Laplace regression with censored data
• Linear quantile mixed models
• Quantile regression for longitudinal data based on latent Markov subject-specific parameters
• Quantile regression for longitudinal data using the asymmetric Laplace distribution
• Regression Quantiles
• The Gaussian hare and the Laplacian tortoise: computability of squared-error versus absolute-error estimators. With comments by Ronald A. Thisted and M. R. Osborne and a rejoinder by the authors

Cited in

(10)

• Maximum likelihood estimation of asymmetric Laplace parameters
• Asymmetric Laplace regression: maximum likelihood, maximum entropy and quantile regression
• Quantile regression for count data: jittering versus regression coefficients modelling in the analysis of credits earned by university students after remote teaching
• Estimation and Testing in M‐quantile Regression with Applications to Small Area Estimation
• A note on computing maximum likelihood estimates for the three-parameter asymmetric Laplace distribution
• Parametric expectile regression and its application for premium calculation
• Bent-cable quantile regression model
• Quantile ratio regression
• Systematically missing data in distributed data networks: multiple imputation when data cannot be pooled
• Adaptive Huber-type smoothing algorithm for change point detection in quantile regression

Describes a project that uses

Uses Software

• Stata
• lqmm
• laplace

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