Open Conference Systems, 50th Scientific meeting of the Italian Statistical Society

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Multiple Quantile Regression for Risk Assessment
Lea Petrella, Valentina Raponi

Last modified: 2018-05-28


This paper proposes a maximum-likelihood approach to jointly estimate conditional marginal quantiles of multivariate response variables using 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 to estimate model parameters. The idea is to extend the link between the Asymmetric Laplace distribution and the well-known univariate quantile regression model to a multivariate context. The approach accounts for association among multiple response variables and study how such association structure and the relationship between responses and explanatory variables can vary across different quantile levels of the conditional distribution of the responses. A penalized version of the EM algorithm is also presented to tackle the problem of variable selection. The validity of our approach is analyzed in a simulation study, where we also provide evidence on the efficiency gain of the proposed method compared to estimation obtained by separate univariate quantile regressions. A real data application is finally proposed to study the main determinants of financial distress in a sample of Italian firms.


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