Joint estimation of conditional quantiles in multivariate linear regression models with an application to financial distress

DOI10.1016/j.jmva.2019.02.008zbMath1422.62095arXiv1808.01240OpenAlexW2885647151WikidataQ128358603 ScholiaQ128358603MaRDI QIDQ2274932

Valentina Raponi, Lea Petrella

Publication date: 1 October 2019

Published in: Journal of Multivariate Analysis (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1808.01240

zbMATH Keywords

EM algorithmquantile regressionmaximum likelihoodmultiple quantilesmultivariate response variablesmultivariate asymmetric Laplace distribution

Mathematics Subject Classification ID

Estimation in multivariate analysis (62H12) Point estimation (62F10) Parametric inference under constraints (62F30) Probability distributions: general theory (60E05)

Related Items (9)

Hidden semi-Markov-switching quantile regression for time series ⋮ Bayesian joint inference for multivariate quantile regression model with \(L_{1/2}\) penalty ⋮ Quantile hidden semi-Markov models for multivariate time series ⋮ Quantile modeling through multivariate log‐normal/independent linear regression models with application to newborn data ⋮ Privacy-enhanced and non-interactive linear regression with dropout-resilience ⋮ Bayesian Quantile Regression for Big Data Analysis ⋮ Bayesian scale mixtures of normals linear regression and Bayesian quantile regression with big data and variable selection ⋮ Fully Bayesian estimation of simultaneous regression quantiles under asymmetric Laplace distribution specification ⋮ Quantile regression via the EM algorithm for joint modeling of mixed discrete and continuous data based on Gaussian copula

Uses Software

• CAViaR
• glmnet
• QRM

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