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Showing 1 results for Shrinkage Approach

Miss Forouzan Jafari, Dr. Mousa Golalizadeh,
Volume 17, Issue 2 (2-2024)
Abstract

The mixed effects model is one of the powerful statistical approaches used to model the relationship between the response variable and some predictors in analyzing data with a hierarchical structure. The estimation of parameters in these models is often done following either the least squares error or maximum likelihood approaches. The estimated parameters obtained either through the least squares error or the maximum likelihood approaches are inefficient, while the error distributions are non-normal.   In such cases, the mixed effects quantile regression can be used. Moreover, when the number of variables studied increases, the penalized mixed effects quantile regression is one of the best methods to gain prediction accuracy and the model's interpretability. In this paper, under the assumption of an asymmetric Laplace distribution for random effects, we proposed a double penalized model in which both the random and fixed effects are independently penalized. Then, the performance of this new method is evaluated in the simulation studies, and a discussion of the results is presented along with a comparison with some competing models. In addition, its application is demonstrated by analyzing a real example.

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مجله علوم آماری – نشریه علمی پژوهشی انجمن آمار ایران Journal of Statistical Sciences

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