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

• Main Authors: Wang, Shangshan, Xiang, Liming
• Other Authors: School of Physical and Mathematical Sciences
• Format: Article
• Language: English
• Published: 2017
• Subjects: Asymmetric Laplace distribution; Composite quantile regression
• Online Access: https://hdl.handle.net/10356/83377; http://hdl.handle.net/10220/43534
• Institution: Nanyang Technological University

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...