Joint estimation of conditional quantiles in multivariate linear regression models with an application to financial distress

JOURNAL OF MULTIVARIATE ANALYSIS

卷:173

Article

Petrella, Lea¹  Raponi, Valentina^1,2 

[1] Sapienza Univ Rome, MEMOTEF, Rome, Italy

[2] Imperial Coll London, Imperial Coll Business Sch, London, England

关键词: EM algorithm;    Maximum likelihood;    Multivariate asymmetric Laplace distribution;    Multiple quantiles;    Multivariate response variables;    Quantile regression;   

DOI  :  10.1016/j.jmva.2019.02.008

来源: Elsevier

【 摘 要 】

This paper proposes a maximum likelihood approach to jointly estimate marginal conditional quantiles of multivariate response variables in a linear regression framework. We consider a slight reparameterization of the multivariate asymmetric Laplace distribution proposed by Kotz et al. (2001) and exploit its location-scale mixture representation to implement a new EM algorithm for estimating model parameters. The idea is to extend the link between the asymmetric Laplace distribution and the well-known univariate quantile regression model to a multivariate context, i.e., when a multivariate dependent variable is concerned. The approach accounts for association among multiple responses and studies how the relationship between responses and explanatory variables can vary across different quantiles of the marginal conditional distribution of the responses. A penalized version of the EM algorithm is also presented to tackle the problem of variable selection. The validity of our approach is analyzed in a simulation study, where we also provide evidence on the efficiency gain of the proposed method compared to estimation obtained by separate univariate quantile regressions. A real data application examines the main determinants of financial distress in a sample of Italian firms. (C) 2019 Elsevier Inc. All rights reserved.

【 授权许可】

Free