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Composite hierachical linear quantile regression

Composite hierachical linear quantile regression Multilevel (hierarchical) modeling is a generalization of linear and generalized linear modeling in which regression coefficients are modeled through a model, whose parameters are also estimated from data. Multilevel model fails to fit well typically by the use of the EM algorithm once one of level error variance (like Cauchy distribution) tends to infinity. This paper proposes a composite multilevel to combine the nested structure of multilevel data and the robustness of the composite quantile regression, which greatly improves the efficiency and precision of the estimation. The new approach, which is based on the Gauss-Seidel iteration and takes a full advantage of the composite quantile regression and multilevel models, still works well when the error variance tends to infinity. We show that even the error distribution is normal, the MSE of the estimation of composite multilevel quantile regression models nearly equals to mean regression. When the error distribution is not normal, our method still enjoys great advantages in terms of estimation efficiency. http://www.deepdyve.com/assets/images/DeepDyve-Logo-lg.png Acta Mathematicae Applicatae Sinica Springer Journals

Composite hierachical linear quantile regression

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References (20)

Publisher
Springer Journals
Copyright
Copyright © 2014 by Institute of Applied Mathematics, Academy of Mathematics and System Sciences, Chinese Academy of Sciences and Springer-Verlag Berlin Heidelberg
Subject
Mathematics; Applications of Mathematics; Math Applications in Computer Science; Theoretical, Mathematical and Computational Physics
ISSN
0168-9673
eISSN
1618-3932
DOI
10.1007/s10255-014-0267-1
Publisher site
See Article on Publisher Site

Abstract

Multilevel (hierarchical) modeling is a generalization of linear and generalized linear modeling in which regression coefficients are modeled through a model, whose parameters are also estimated from data. Multilevel model fails to fit well typically by the use of the EM algorithm once one of level error variance (like Cauchy distribution) tends to infinity. This paper proposes a composite multilevel to combine the nested structure of multilevel data and the robustness of the composite quantile regression, which greatly improves the efficiency and precision of the estimation. The new approach, which is based on the Gauss-Seidel iteration and takes a full advantage of the composite quantile regression and multilevel models, still works well when the error variance tends to infinity. We show that even the error distribution is normal, the MSE of the estimation of composite multilevel quantile regression models nearly equals to mean regression. When the error distribution is not normal, our method still enjoys great advantages in terms of estimation efficiency.

Journal

Acta Mathematicae Applicatae Sinica – Springer Journals

Published: Apr 26, 2014

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