A note on estimating the bent line quantile regression model

作者：Yan, Yanyang; Zhang, Feipeng^*; Zhou, Xiaoying

来源：Computational Statistics, 2017, 32(2): 611-630.

DOI：10.1007/s00180-017-0711-9

• Quantile regression
• Change-point
• Linearization technique

This paper considers a new estimating method for the bent line quantile regression model. By a simple linearization technique, the proposed method can simultaneously obtain the estimates of the regression coefficients and the change-point location. Moreover, it can be readily implemented by current software. Simulation studies demonstrate that the proposed method has good finite sample performance. Two empirical applications are also presented to illustrate the method.

• 出版日期2017-6
• 单位湖南大学