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Hierarchical linear regression models for conditional quantiles
- Source :
- Science in China Series A: Mathematics. 49:1800-1815
- Publication Year :
- 2006
- Publisher :
- Springer Science and Business Media LLC, 2006.
-
Abstract
- The quantile regression has several useful features and therefore is gradually developing into a comprehensive approach to the statistical analysis of linear and nonlinear response models, but it cannot deal effectively with the data with a hierarchical structure. In practice, the existence of such data hierarchies is neither accidental nor ignorable, it is a common phenomenon. To ignore this hierarchical data structure risks overlooking the importance of group effects, and may also render many of the traditional statistical analysis techniques used for studying data relationships invalid. On the other hand, the hierarchical models take a hierarchical data structure into account and have also many applications in statistics, ranging from overdispersion to constructing min-max estimators. However, the hierarchical models are virtually the mean regression, therefore, they cannot be used to characterize the entire conditional distribution of a dependent variable given high-dimensional covariates. Furthermore, the estimated coefficient vector (marginal effects) is sensitive to an outlier observation on the dependent variable. In this article, a new approach, which is based on the Gauss-Seidel iteration and taking a full advantage of the quantile regression and hierarchical models, is developed. On the theoretical front, we also consider the asymptotic properties of the new method, obtaining the simple conditions for an n1/2-convergence and an asymptotic normality. We also illustrate the use of the technique with the real educational data which is hierarchical and how the results can be explained.
Details
- ISSN :
- 18622763 and 10069283
- Volume :
- 49
- Database :
- OpenAIRE
- Journal :
- Science in China Series A: Mathematics
- Accession number :
- edsair.doi...........4af3dce561b2ebdee186efa790b38c55