Czasopismo
Tytuł artykułu
Autorzy
Warianty tytułu
Extremal Quantile Regression'
Języki publikacji
Abstrakty
W artykule w szczególności zostaną omówione ekstremalne własności dla dużej próby (ekstremalny porządek oraz centralny porządek) estymatorów regresji kwantylowej dla modelu liniowego regresji kwantylowej z obciętym ogonem rozkładu do istotnego minimum rozważanej dziedziny oraz domknięte pod warunkiem ekwiwalentności ogona względem wartości regresorów. (fragment tekstu)
Quantile regression is an important tool for estimation of conditional quantiles of a response Y given a vector of covariates X. It can be used to measure the effect of covariates not only in the center of a distribution, but also in the upper and lower tails. This paper describe a theory of quantile regression in the tails. Specifically, it obtains the large sample properties of extremal (extreme order and intermediate order) quantile regression estimators for the linear quantile regression model with the tails restricted to the domain of minimum attraction and closed under tail equivalence across regressor values. (original abstract)
Słowa kluczowe
Rocznik
Strony
12--20
Opis fizyczny
Twórcy
autor
- Uniwersytet Ekonomiczny w Katowicach
Bibliografia
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Typ dokumentu
Bibliografia
Identyfikatory
Identyfikator YADDA
bwmeta1.element.ekon-element-000171231761