Quantile regression for linear models with autoregressive errors using EM algorithm |
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| Authors: | Yuzhu Tian Manlai Tang Yanchao Zang Maozai Tian |
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| Affiliation: | 1.School of Mathematics and Statistics,Henan University of Science and Technology,LuoYang,China;2.School of Statistics and Mathematics,The Central University of Finance and Economics,Beijing,China;3.Department of Mathematics and Statistics,Hang Seng Management College,Hong Kong,China;4.School of Statistics,Renmin University of China,Beijing,China |
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| Abstract: | In this paper, we consider the quantile linear regression models with autoregressive errors. By incorporating the expectation–maximization algorithm into the considered model, the iterative weighted least square estimators for quantile regression parameters and autoregressive parameters are derived. Finally, the proposed procedure is illustrated by simulations and a real data example. |
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