Bias-corrected score decomposition for generalized quantiles
广义分位数预测的偏差校正评分分解AI 解读 ↓
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广义分位数预测的偏差校正评分分解AI 解读 ↓
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Decompositions of the score of a forecast represent useful tools for assessing its performance. We consider local score decompositions permitting detailed forecast assessments across a spectrum of conditions of interest. We derive corrections to the bias of the decomposition components in the framework of point forecasts of quantile-type functionals, and illustrate their performance by simulation. Related bias corrections have thus far only been known for squared error criteria.
半参数广义帕累托模型中的尾部期望分位数估计
Expectiles have received increasing attention as a market risk measure that is both coherent and elicitable. They are defined as a least squares analog to quantiles. Their estimation from heavy-tailed loss data in an extreme value framework is an important and difficult problem, especially when the target tail expectile is beyond the range of the data. This problem has been studied only fairly recently, using solely the Weissman extrapolation method. The competing…
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具有网络关联固定效应的动态面板分位数回归
This paper introduces a dynamic panel data quantile regression model with network-linked fixed effects, named DQR-NFE, in which unobserved individual heterogeneity is structured through an underlying network. The corresponding estimator is derived by incorporating a quantile network cohesion (QNC) penalty into the dynamic panel quantile regression framework. This penalty encourages connected units within the network to exhibit similar conditional quantiles, with a…
空间标量对函数分位数回归模型
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使用 IQ-BART 的生成式回归
Implicit Quantile BART (IQ-BART) posits a non-parametric Bayesian model on the conditional quantile function, acting as a model over a conditional model for $Y$ given $X$. One of the key ingredients is augmenting the observed data $\{(Y_i,X_i)\}_{i=1}^n$ with uniformly sampled values $τ_i$ for $1\leq i\leq n$ which serve as training data for quantile function estimation. Using the fact that the location parameter $μ$ in a $τ$-tilted asymmetric Laplace distribution…
经济与政策不确定性和企业价值:美国耐用品生产商
The objective of this study is to analyze the response of firm value, represented by the Tobin's Q (Q) for a group of twelve U.S. durable goods producers to uncertainties in the US Economy. The results, based on an estimated panel quantile regressions (PQR) and panel vector autoregressive MIDAS model (PVM), show that Q for these firms reacts negatively to the positive shocks to the current ratio, and debt-to-asset ratio and positively to operating income after depreciation…