li_powell: Asymmetric-Laplace-type Working Likelihood For Cenaored...
In AdjBQR: Adjusted Bayesian Quantile Regression Inference

Description Usage Arguments Details Value References

Asymmetric-Laplace-type working likelihood for linear quantile regression with responses subject to left censoring at zero

1	li_powell(pars, y, x, tau, sig)

`pars`	regression coefficient vector
`y`	the response vector
`x`	the design matrix with one in the first column corresponding to the intercept
`tau`	the quantile level
`sig`	scale parameter sigma

The asymmetric-Laplace-type working likelihood is proportional to exponential of the negative Powell objective function for censored quantile regression

the working log (asymmetric Laplace-type) likelihood function (the part involving the regression coefficients)

Powell, J. L. (1986). Censored regression quantiles. Journal of Econometrics, 32, 143-155.

Yang, Y., Wang, H. and He, X. (2015). Posterior inference in Bayesian quantile regression with asymmetric Laplace likelihood. International Statistical Review, 2015. doi: 10.1111/insr.12114.

AdjBQR documentation built on May 1, 2019, 10:26 p.m.