Zhen Yan, Maozai Tian

【Abstract】

In this paper, we propose an MCEM algorithm for the estimation of linear quantile regression model and extend this method to the research of censored linear quantile regression model. Simulation results show that our proposed algorithm performs well. And two real data analysis are implemented to illustrate the performance of the proposed method.

【Keywords】

quantile regression, censored quantile regression, MCEM algorithm, EM algorithm