Quantile regression via the EM algorithm for joint modeling of mixed discrete and continuous data based on Gaussian copula

DOI10.1007/S10260-022-00629-2MaRDI QIDQ2111317zbMATH OpenOpenAlexFDO

Authors S. Ghasemzadeh, M. Ganjali, T. Baghfalaki

Publication date 13 January 2023

Published in Statistical Methods and Applications (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s10260-022-00629-2

zbMATH Keywords

bootstrapEM algorithmGaussian copulaquantile regressionasymmetric Laplace distributionmonotone equivariance property

Mathematics Subject Classification ID

Statistics (62-XX)

Cites work

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• Non-Gaussian Ornstein-Uhlenbeck-based models and some of their uses in financial economics. (With discussion)
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Cited in

(1)

• Gaussian copula based composite quantile regression in semivarying models with longitudinal data

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• qrcm

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