OLS versus quantile regression in extreme distributions
نویسندگان
چکیده
منابع مشابه
High quantile regression for extreme events
For extreme events, estimation of high conditional quantiles for heavy tailed distributions is an important problem. Quantile regression is a useful method in this field with many applications. Quantile regression uses an L1-loss function, and an optimal solution by means of linear programming. In this paper, we propose a weighted quantile regression method. Monte Carlo simulations are performe...
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ژورنال
عنوان ژورنال: Contaduría y Administración
سال: 2018
ISSN: 2448-8410,0186-1042
DOI: 10.22201/fca.24488410e.2018.1702