QuantileRegression-TempleUniversity.pptVIP

Quantile Regression Quantile Regression The Problem The Estimator Computation Properties of the Regression Properties of the Estimator Hypothesis Testing Bibliography Software Quantile Regression The Problem Quantile Regression Problem The distribution of Y, the “dependent” variable, conditional on the covariate X, may have thick tails. The conditional distribution of Y may be asymmetric. The conditional distribution of Y may not be unimodal. Neither regression nor ANOVA will give us robust results. Outliers are problematic, the mean is pulled toward the skewed tail, multiple modes will not be revealed. Quantile Regression Problem ANOVA and regression provide information only about the conditional mean. More knowledge about the distribution of the statistic may be important. The covariates may shift not only the location or scale of the distribution, they may affect the shape as well. Quantile Regression Quantile Regression Quantile Regression The Estimator Quantile Regression Ordinarily we specify a quadratic loss function. That is, L(u) = u2 Under quadratic loss we use the conditional mean, via regression or ANOVA, as our predictor of Y for a given X=x. Quantile Regression Definition: Given p ∈ [0, 1]. A pth quantile of a random variable Z is any number ζp such that Pr(Z ζ p ) ≤ p ≤ Pr(Z ≤ ζ p ). The solution always exists, but need not be unique.Ex: Suppose Z={3, 4, 7, 9, 9, 11, 17, 21} and p=0.5 then Pr(Z9) = 3/8 ≤ 1/2 ≤ Pr(Z ≤ 9) = 5/8 Quantile Regression Quantiles can be used to characterize a distribution: Median Interquartile Range Interdecile Range Symmetry = (ζ.75- ζ.5)/(ζ.5- ζ.25) Tail Weight = (ζ.90- ζ.10)/(ζ.75- ζ.25) Quantile Regression Suppose Z is a continuous r.v. with cdf F(.), then Pr(Zz) = Pr(Z≤z)=F(z) for every z in the support and a pth quantile is any number ζ p such that F(ζ p) = p If F is continuous and strictly increasing then the inverse exists and ζ p =F-1(p) Quantile Regression Definition: The asymmetric absolute loss function is