当前位置: X-MOL 学术Comput. Stat. Data Anal. › 论文详情
Our official English website, www.x-mol.net, welcomes your feedback! (Note: you will need to create a separate account there.)
Semiparametric quantile regression using family of quantile-based asymmetric densities
Computational Statistics & Data Analysis ( IF 1.8 ) Pub Date : 2021-05-01 , DOI: 10.1016/j.csda.2020.107129
Irène Gijbels , Rezaul Karim , Anneleen Verhasselt

Abstract Quantile regression is an important tool in data analysis. Linear regression, or more generally, parametric quantile regression imposes often too restrictive assumptions. Nonparametric regression avoids making distributional assumptions, but might have the disadvantage of not exploiting distributional modelling elements that might be brought in. A semiparametric approach towards estimating conditional quantile curves is proposed. It is based on a recently studied large family of asymmetric densities of which the location parameter is a quantile (and not a mean). Passing to conditional densities and exploiting local likelihood techniques in a multiparameter functional setting then leads to a semiparametric estimation procedure. For the local maximum likelihood estimators the asymptotic distributional properties are established, and it is discussed how to assess finite sample bias and variance. Due to the appealing semiparametric framework, one can discuss in detail the bandwidth selection issue, and provide several practical bandwidth selectors. The practical use of the semiparametric method is illustrated in the analysis of maximum winds speeds of hurricanes in the North Atlantic region, and of bone density data. A simulation study includes a comparison with nonparametric local linear quantile regression as well as an investigation of robustness against miss-specifying the parametric model part.

中文翻译:

使用基于分位数的非对称密度族的半参数分位数回归

摘要 分位数回归是数据分析的重要工具。线性回归,或更一般地说,参数分位数回归通常强加了过于严格的假设。非参数回归避免做出分布假设,但可能具有不利用可能引入的分布建模元素的缺点。提出了一种估计条件分位数曲线的半参数方法。它基于最近研究的一大类非对称密度,其位置参数是分位数(而不是平均值)。在多参数函数设置中传递到条件密度并利用局部似然技术然后导致半参数估计过程。对于局部最大似然估计,渐近分布特性被建立,并讨论了如何评估有限样本偏差和方差。由于吸引人的半参数框架,可以详细讨论带宽选择问题,并提供几种实用的带宽选择器。在对北大西洋地区飓风的最大风速和骨密度数据的分析中说明了半参数方法的实际应用。模拟研究包括与非参数局部线性分位数回归的比较,以及对参数模型部分错误指定的鲁棒性调查。在对北大西洋地区飓风的最大风速和骨密度数据的分析中说明了半参数方法的实际应用。模拟研究包括与非参数局部线性分位数回归的比较,以及对参数模型部分错误指定的鲁棒性调查。在对北大西洋地区飓风的最大风速和骨密度数据的分析中说明了半参数方法的实际应用。模拟研究包括与非参数局部线性分位数回归的比较,以及对参数模型部分错误指定的鲁棒性调查。
更新日期:2021-05-01
down
wechat
bug