A predictive leverage statistic for quantile regression with measurement errors. Issue 8 (14th September 2017)

• Record Type: Journal Article
• Authors: Ranganai, Edmore; Nadarajah, Saralees
• Is Part Of: Communications in statistics. Volume 46:Issue 8(2017)
• Page Start: 6385
• Page End: 6398
• Publication Date: 2017-09-14
• Subjects: Elemental predictive leverage -- Elemental regression weight -- Elemental regression -- Elemental set -- Multiple case -- Quantile regression; 62E99; Mathematical statistics -- Periodicals; Mathematical statistics -- Data processing -- Periodicals; Digital computer simulation -- Periodicals; 519.5
• DOI: 10.1080/03610918.2016.1204455
• Languages: English
• ISSNs: 0361-0918

Abstract

ABSTRACT: Application of quantile regression models with measurement errors in predictors is becoming increasingly popular. High leverage points in predictors can have substantial impacts on these models. Here, we propose a predictive leverage statistic for these models, assuming that the measurement errors follow a multivariate normal distribution, and derive its exact distribution. We compare its performance versus known predictive leverage statistics using simulation and a real dataset. The proposed statistic is shown to have desirable features. It is also the first predictive leverage statistic having its distribution derived in a closed form.