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A generalized quantile regression model

par Nassiri, Vahid;Loris, Ignace
Référence Journal of applied statistics, 40, 5, page (1090-1105)
Publication Publié, 2013

Article révisé par les pairs

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Résumé :

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: robustness to outliers and differentiable loss function.