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Logistic Quantile Regression for Bounded Outcomes Using a Family of Heavy-Tailed Distributions

Author

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  • Christian E. Galarza

    (Escuela Superior Politécnica del Litoral)

  • Panpan Zhang

    (University of Pennsylvania)

  • Víctor H. Lachos

    (University of Connecticut)

Abstract

Mean regression model could be inadequate if the probability distribution of the observed responses is not symmetric. Under such situation, the quantile regression turns to be a more robust alternative for accommodating outliers and misspecification of the error distribution, since it characterizes the entire conditional distribution of the outcome variable. This paper proposes a robust logistic quantile regression model by using a logit link function along the EM-based algorithm for maximum likelihood estimation of the p th quantile regression parameters in Galarza (Stat 6, 1, 2017). The aforementioned quantile regression (QR) model is built on a generalized class of skewed distributions which consists of skewed versions of normal, Student’s t, Laplace, contaminated normal, slash, among other heavy-tailed distributions. We evaluate the performance of our proposal to accommodate bounded responses by investigating a synthetic dataset where we consider a full model including categorical and continuous covariates as well as several of its sub-models. For the full model, we compare our proposal with a non-parametric alternative from the so-called quantreg R package. The algorithm is implemented in the R package lqr, providing full estimation and inference for the parameters, automatic selection of best model, as well as simulation of envelope plots which are useful for assessing the goodness-of-fit.

Suggested Citation

  • Christian E. Galarza & Panpan Zhang & Víctor H. Lachos, 2021. "Logistic Quantile Regression for Bounded Outcomes Using a Family of Heavy-Tailed Distributions," Sankhya B: The Indian Journal of Statistics, Springer;Indian Statistical Institute, vol. 83(2), pages 325-349, November.
    • Handle: RePEc:spr:sankhb:v:83:y:2021:i:2:d:10.1007_s13571-020-00231-0
    DOI: 10.1007/s13571-020-00231-0
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    References listed on IDEAS

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    2. Helton Saulo & Roberto Vila & Giovanna V. Borges & Marcelo Bourguignon & Víctor Leiva & Carolina Marchant, 2023. "Modeling Income Data via New Parametric Quantile Regressions: Formulation, Computational Statistics, and Application," Mathematics, MDPI, vol. 11(2), pages 1-25, January.

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