Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
416593 | Computational Statistics & Data Analysis | 2007 | 21 Pages |
Abstract
Censored quantile regressions (CQR) are a valuable tool in economics and engineering. The computation of estimators is highly complex and the performance of standard methods is not satisfactory, in particular if a high degree of censoring is present. Due to an interpolation property the computation of CQR estimates corresponds to the solution of a large scale discrete optimization problem. This feature motivates the use of the global optimization heuristic threshold accepting (TA) in comparison to other algorithms. Simulation results presented in this paper indicate that it can improve finding the exact CQR estimator considerably though it uses more computing time.
Related Topics
Physical Sciences and Engineering
Computer Science
Computational Theory and Mathematics
Authors
Bernd Fitzenberger, Peter Winker,