Linear Quantile Mixed Models: The lqmm Package for Laplace Quantile Regression

Abstract

Inference in quantile analysis has received considerable attention in the recent years. Linear quantile mixed models (Geraci and Bottai 2014) represent a flexible statistical tool to analyze data from sampling designs such as multilevel, spatial, panel or longitudinal, which induce some form of clustering. In this paper, I will show how to estimate conditional quantile functions with random effects using the R package lqmm. Modeling, estimation and inference are discussed in detail using a real data example. A thorough description of the optimization algorithms is also provided.