qrod_mle: Outlier Dignostic for Quantile Regression with Asymmetric...

In quokar: Quantile Regression Outlier Diagnostics with K Left Out Analysis

Description

This function cacluate the generalized cook distance and q function distance of quantile regression model with asymmetric laplace distribution.

Usage

qrod_mle(y, x, tau, error, iter, method = c("cook.distance", "qfunction"))

Arguments

y	Dependent variable in quantile regression
x	Indepdent variables in quantile regression. Note that: x is the independent variable matrix which including the intercept. That means, if the dimension of independent variables is p and the sample size is n, x is a n times p+1 matrix with the first column being one.
tau	quantile
error	The EM algorithm accuracy of error used in MLE estimation
iter	the iteration frequancy for EM algorithm used in MLE estimation
method	the diagnostic method for outlier detection

Details

please refer to the reference paper

Value

Generalized Cook's distance or Q-function distance for multiple quantiles

quokar documentation built on May 2, 2019, 6:39 a.m.