A new approach to quantile regression
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CitationArdalan, A. ve Mardani-Fara, H. A. (2009). A new approach to quantile regression. Maltepe Üniversitesi. s. 110.
In this paper, we present a new approach to the quantile regression context that combine classical quantile regression approach given by Koenker and Bassett (1978) which estimates quantiles by specialized linear programming techniques, with expectile regression given by Efron (1991) and Newey and Powell (1987) which is very much related to the classical quantile regression. We try to compare these three methods. It is known that the quantiles also coincide with the maximum likelihood solution of the location parameter in a class of asymmetric distribution. In this regard, we present a new class of asymmetric distributions and investigate the properties and asymptotic behavior of maximum likelihood estimators of the parameters.
SourceInternational Conference of Mathematical Sciences
- Makale Koleksiyonu 
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