Results 101 to 110 of about 4,922 (217)

Bias Adjustment for Mean Squared Error Estimation in M‐Quantile Models for Small Area Estimation

International Statistical Review, EarlyView.
Summary M‐quantile (MQ) regression provides a robust and flexible alternative to mixed models for small area estimation. However, several theoretical aspects remain underexplored. In this paper, a parametric bootstrap method is proposed to approximate the distributions of area‐specific MQ coefficients and applied to adjust the bias in the mean squared ...
María Bugallo, Domingo Morales, Nicola Salvati, Francesco Schirripa Spagnolo   +3 more
wiley   +1 more source

Two-Stage Estimation of Partially Linear Varying Coefficient Quantile Regression Model with Missing Data

Mathematics
In this paper, the statistical inference of the partially linear varying coefficient quantile regression model is studied under random missing responses.
Shuanghua Luo, Yuxin Yan, Cheng-yi Zhang
doaj   +1 more source

Heterogeneity in Manufacturing Growth Risk

Journal of Money, Credit and Banking, EarlyView.
Abstract We analyze differences in output growth risk with respect to financial conditions across U.S. manufacturing industries. Using a multilevel quantile regression approach, we find that industries exhibit heterogeneous increases of downside risk in times of tight financial conditions, while upside potential remains stable.
DAAN OPSCHOOR, DICK VAN DIJK, PHILIP HANS FRANSES   +2 more
wiley   +1 more source

Parameter Estimation of the Partially Linear Quantile Regression Model Under Monotonic Constraints

Journal of Mathematics
The paper brings forward the partially linear quantile regression model by incorporating monotonic constraints, which are common in real-world relationships between variables.
Shujin Wu, Zhilin Yu, Shanshan Liang, Yanke Ren   +3 more
doaj   +1 more source

Mixing It Up: Inflation at Risk

Journal of Money, Credit and Banking, EarlyView.
Abstract Understanding how risk factors shape the economic outlook is essential for guiding policy decisions. This paper develops a flexible framework that decomposes distributional risk forecasts of macro‐economic variables into underlying contributions and supports the construction of interpretable risk measures.
MAXIMILIAN SCHRÖDER
wiley   +1 more source

Powerful nonparametric checks for quantile regression

, 2014
We address the issue of lack-of-fit testing for a parametric quantile regression. We propose a simple test that involves one-dimensional kernel smoothing, so that the rate at which it detects local alternatives is independent of the number of covariates.
Maistre, Samuel, Lavergne, Pascal, Patilea, Valentin   +2 more
openaire   +2 more sources

Density‐Valued ARMA Models by Spline Mixtures

Journal of Time Series Analysis, EarlyView.
ABSTRACT This paper proposes a novel framework for modeling time series of probability density functions by extending autoregressive moving average (ARMA) models to density‐valued data. The method is based on a transformation approach, wherein each density function on a compact domain [0,1]d$$ {\left[0,1\right]}^d $$ is approximated by a B‐spline ...
Yasumasa Matsuda, Rei Iwafuchi
wiley   +1 more source

Testing Distributional Granger Causality With Entropic Optimal Transport

Journal of Time Series Analysis, EarlyView.
ABSTRACT We develop a novel nonparametric test for Granger causality in distribution based on entropic optimal transport. Unlike classical mean‐based approaches, the proposed method directly compares the full conditional distributions of a response variable with and without the history of a candidate predictor.
Tao Wang
wiley   +1 more source

sglg: An R package to fit parametric and semi-parametric generalized log-gamma models

SoftwareX
The R package sglg provides a computational framework for fitting, summarizing, and evaluating parametric and semi-parametric generalized log-gamma regression models, together with several methods for their visualization.
Carlos A. Cardozo, Gilberto A. Paula, Luis H. Vanegas   +2 more
doaj   +1 more source

Convergence of the risk for nonparametric IV quantile regression and nonparametric IV regression with full independence

, 2015
Discussion Paper / SFB 823;45 ...
openaire   +3 more sources