Search Results - subject:"Check function"

Forward variable selection for ultra-high dimensional quantile regression models

Honda, Toshio; Lin, Chien-Tong - 2022 - This version : May 2022

Persistent link: https://www.econbiz.de/10013364483

Efficient risk measures calculations for generalized CreditRisk+ models

Huang, Zhenzhen; Kwok, Yue-Kuen - In: International journal of theoretical and applied finance 24 (2021) 2, pp. 1-51

Persistent link: https://www.econbiz.de/10012650350

Quantile Forecasting of Wind Power Using Variability Indices

Anastasiades, Georgios; McSharry, Patrick - In: Energies 6 (2013) 2, pp. 662-695

Wind power forecasting techniques have received substantial attention recently due to the increasing penetration of wind energy in national power systems. While the initial focus has been on point forecasts, the need to quantify forecast uncertainty and communicate the risk of extreme ramp...

Persistent link: https://www.econbiz.de/10010668185

Confidence bands in quantile regression and generalized dynamic semiparametric factor models

Song, Song - 2010

In vielen Anwendungen ist es notwendig, die stochastische Schwankungen der maximalen Abweichungen der nichtparametrischen Schätzer von Quantil zu wissen, zB um die verschiedene parametrische Modelle zu überprüfen. Einheitliche Konfidenzbänder sind daher für nichtparametrische Quantil...

Persistent link: https://www.econbiz.de/10009467050

Nonparametric Quantile Regression with Heavy-Tailed and Strongly Dependent Errors

Honda, Toshio - Institute of Economic Research, Hitotsubashi University - 2010

We consider nonparametric estimation of the conditional qth quantile for stationary time series. We deal with stationary time series with strong time dependence and heavy tails under the setting of random design. We estimate the conditional qth quantile by local linear regression and investigate...

Persistent link: https://www.econbiz.de/10008838432

Semiparametric conditional quantile estimation through copula-based multivariate models

Noh, Hohsuk; El Ghouch, Anouar; Van Keilegom, Ingrid - In: Journal of business & economic statistics : JBES ; a … 33 (2015) 2, pp. 167-178

Persistent link: https://www.econbiz.de/10011390008

The Stochastic Fluctuation of the Quantile Regression Curve

Song, Song - 2008

Let (X1, Y1), . . ., (Xn, Yn) be i.i.d. rvs and let l(x) be the unknown p-quantile regression curve of Y on X. A quantile-smoother ln(x) is a localised, nonlinear estimator of l(x). The strong uniform consistency rate is established under general conditions. In many applications it is necessary...

Persistent link: https://www.econbiz.de/10009467067

The stochastic fluctuation of the quantile regression curve

Härdle, Wolfgang Karl; Song, Song - 2008

Persistent link: https://www.econbiz.de/10010274144

The Stochastic Fluctuation of the Quantile Regression Curve

Härdle, Wolfgang; Song, Song - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 2008

distribution in a parsimonious way. Keywords: Quantile Regression; Consistency Rate; Confidence Band; Check Function; Kernel … more direct approach using a check function such as a robustified local linear smoother, is provided by Fan et al. (1994 … convenience. Let l(x) denote the p-quantile curve, i.e. l(x) = F−1Y|x(p). Under a “check function”, the quantile regression curvel …

Persistent link: https://www.econbiz.de/10005678022

Nonparametric quantile regression with heavy-tailed and strongly dependent errors

Honda, Toshio - In: Annals of the Institute of Statistical Mathematics 65 (2013) 1, pp. 23-47

Persistent link: https://www.econbiz.de/10010634437