Multivariate asymmetric Laplace distribution

Joint estimation of conditional quantiles in multivariate linear regression models with an application to financial distress

This paper proposes a maximum likelihood approach to jointly estimate marginal conditional quantiles of multivariate response variables in a linear regression framework. We consider a slight reparameterization of the multivariate asymmetric Laplace distribution proposed by Kotz et al. (2001) and exploit its location–scale mixture representation to implement a new EM algorithm for estimating model parameters.

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