Two-layer EM algorithm for ALD mixture regression models: A new solution to composite quantile regression

We advocate linear regression by modeling the error term through a finite mixture of asymmetric Laplace distributions (ALDs). The model expands the flexibility of linear regression to account for heterogeneity among data and allows us to establish the equivalence between maximum likelihood estimatio...

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Bibliographic Details
Main Authors: Wang, Shangshan, Xiang, Liming
Other Authors: School of Physical and Mathematical Sciences
Format: Article
Language:English
Published: 2017
Subjects:
Online Access:https://hdl.handle.net/10356/83377
http://hdl.handle.net/10220/43534
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Institution: Nanyang Technological University
Language: English