Robust LPV models identification approach based on shifted asymmetric Laplace distribution

This paper focuses on the robust parameters estimation algorithm of linear parameters varying (LPV) models. The classical robust identification techniques deal with the polluted training data, for example, outliers in white noise. The paper extends this robustness to both symmetric and asymmetric noise with outliers to achieve stronger robustness. Without the assumption of Gaussian white noise pollution, the paper employs asymmetric Laplace distribution to model broader noise, especially the asymmetrically distributed noise, since it is an asymmetric heavy-tailed distribution. Furthermore, the asymmetric Laplace (AL) distribution is represented as the product of Gaussian distribution and exponential distribution to decompose this complex AL distribution. Then, a shifted parameter is introduced as the regression term to connect the probabilistic models of the noise and the predict output that obeys shifted AL distribution. In this way, the posterior probability distribution of the unobserved variables could be deduced and the robust parameters estimation problem is solved in the general Expectation Maximization algorithm framework. To demonstrate the advantage of the proposed algorithm, a numerical simulation example is employed to identify the parameters of LPV models and to illustrate the convergence.

Quantile regression for longitudinal data via the multivariate generalized hyperbolic distribution

While extensive research has been devoted to univariate quantile regression, this is considerably less the case for the multivariate (longitudinal) version, even though there are many potential applications, such as the joint examination of growth curves for two or more growth characteristics, such as body weight and length in infants. Quantile functions are easier to interpret for a population of curves than mean functions. While the connection between multivariate quantiles and the multivariate asymmetric Laplace distribution is known, it is less well known that its use for maximum likelihood estimation poses mathematical as well as computational challenges. Therefore, we study a broader family of multivariate generalized hyperbolic distributions, of which the multivariate asymmetric Laplace distribution is a limiting case. We offer an asymptotic treatment. Simulations and a data example supplement the modelling and theoretical considerations.

Fully Bayesian Estimation of Simultaneous Regression Quantiles under Asymmetric Laplace Distribution Specification

In this paper, we are interested in estimating several quantiles simultaneously in a regression context via the Bayesian approach. Assuming that the error term has an asymmetric Laplace distribution and using the relation between two distinct quantiles of this distribution, we propose a simple fully Bayesian method that satisfies the noncrossing property of quantiles. For implementation, we use Metropolis-Hastings within Gibbs algorithm to sample unknown parameters from their full conditional distribution. The performance and the competitiveness of the underlying method with other alternatives are shown in simulated examples.