Quantile regression for linear models with autoregressive errors using EM algorithm

DOI10.1007/S00180-018-0811-1zbMath1417.62097OpenAlexW2796159359MaRDI QIDQ1729300

Yanchao Zang, Mao-Zai Tian, Yu-Zhu Tian, Man-Lai Tang

Publication date: 27 February 2019

Published in: Computational Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s00180-018-0811-1

zbMATH Keywords

hierarchical modelautoregressive modelmaximum likelihood estimation (MLE)QR analysis

Mathematics Subject Classification ID

Nonparametric regression and quantile regression (62G08) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Linear regression; mixed models (62J05)

Related Items (2)

Likelihood-based quantile autoregressive distributed lag models and its applications ⋮ Bayesian bridge-randomized penalized quantile regression estimation for linear regression model with AP(q) perturbation

Uses Software

• QRM
• bootstrap

Cites Work

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