Joint estimation of conditional quantiles in multivariate linear regression models with an application to financial distress
نویسندگان
چکیده
منابع مشابه
Joint estimation of sparse multivariate regression and conditional graphical models
Multivariate regression model is a natural generalization of the classical univariate regression model for fitting multiple responses. In this paper, we propose a highdimensional multivariate conditional regression model for constructing sparse estimates of the multivariate regression coefficient matrix that accounts for the dependency structure among the multiple responses. The proposed method...
متن کاملthe application of multivariate probit models for conditional claim-types (the case study of iranian car insurance industry)
هدف اصلی نرخ گذاری بیمه ای تعیین نرخ عادلانه و منطقی از دیدگاه بیمه گر و بیمه گذار است. تعین نرخ یکی از مهم ترین مسایلی است که شرکتهای بیمه با آن روبرو هستند، زیرا تعیین نرخ اصلی ترین عامل در رقابت بین شرکتها است. برای تعیین حق بیمه ابتدا می باید مقدار مورد انتظار ادعای خسارت برای هر قرارداد بیمه را برآورد کرد. روش عمومی مدل سازی خسارتهای عملیاتی در نظر گرفتن تواتر و شدت خسارتها می باشد. اگر شر...
15 صفحه اولRobust Estimation in Linear Regression with Molticollinearity and Sparse Models
One of the factors affecting the statistical analysis of the data is the presence of outliers. The methods which are not affected by the outliers are called robust methods. Robust regression methods are robust estimation methods of regression model parameters in the presence of outliers. Besides outliers, the linear dependency of regressor variables, which is called multicollinearity...
متن کاملRegression Quantiles and Improved L - Estimation in Linear Models
For the usual linear model, bearing the plausibility of a redundant subset of parameters, pre-test and Stein-rule estimators based on the trimmed least squares estimation theory are considered. Compared to parallel M-estimators, the proposed L-estimators are computationally simpler and are scale-equivariant too. In the light of asymptotic distributional risks, the relative (risk-)efficiency res...
متن کاملNonparametric estimation of conditional quantiles using quantile regression trees
A nonparametric regression method that blends key features of piecewise polynomial quantile regression and tree-structured regression based on adaptive recursive partitioning of the covariate space is investigated. Unlike least squares regression trees, which concentrate on modeling the relationship between the response and the covariates at the center of the response distribution, our quantile...
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
ژورنال
عنوان ژورنال: Journal of Multivariate Analysis
سال: 2019
ISSN: 0047-259X
DOI: 10.1016/j.jmva.2019.02.008