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Pré-Publication, Document De Travail Année : 2024

Quantile regression for longitudinal data with controlled within-individual variance

Résumé

The presence of heteroscedasticity in data can often throw statistical modeling into dis- array. In the context of mixed models and longitudinal data, this paper directly addresses this problem. We develop a quantile estimator based on the asymmetric Laplace distribu- tion, which explains the heteroscedasticity between different groups of data. In addition to developing this new model, our paper establishes the good asymptotic properties of this es- timator under minimal assumptions on the data and verifies them using simulations. Instead of improving performance point by point, our model focuses on the correct representation of data dispersion. Using the permissive formalism of the asymmetric Laplace distribution, we demonstrate the asymptotic properties of a class of estimators defined by a generalized optimization problem inspired by maximum likelihood. A Ridge penalization is proposed to address problems of variability overestimation. More generally, this paper presents a model for handling volume estimation problems more accurately. An application to the diet diver- sity of coral reef fish is proposed through the representation of isotopic niche sizes. Keywords: Asymmetric Laplace Distribution, Linear Quantile Mixed Models, Gaussian Quadra- ture, Ridge Regression, Penalized Linear Quantile Mixed Models
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Dates et versions

hal-04542939 , version 1 (11-04-2024)

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  • HAL Id : hal-04542939 , version 1

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Angelo Alcaraz, Gilles Durrieu, Audrey Poterie. Quantile regression for longitudinal data with controlled within-individual variance. 2024. ⟨hal-04542939⟩
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