A generalized quantile regression model

JOURNAL OF APPLIED STATISTICS, pp. 1090-1105, 2013.

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Abstract:

A new class of probability distributions, the so-called connected double truncated gamma distribution, is introduced. We show that using this class as the error distribution of a linear model leads to a generalized quantile regression model that combines desirable properties of both least-squares and quantile regression methods: robustnes...More

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