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Quantile correlations and quantile autoregressive modeling [PDF]
Journal of the American Statistical Association, 2012 In this paper, we propose two important measures, quantile correlation (QCOR) and quantile partial correlation (QPCOR). We then apply them to quantile autoregressive (QAR) models, and introduce two valuable quantities, the quantile autocorrelation ...
Li, Guodong, Li, Yang, Tsai, Chih-Ling
core +5 more sources
Applied Sciences, 2023 A crucial area of study in data mining is outlier detection, particularly in the areas of network security, credit card fraud detection, industrial flaw detection, etc.
Yuehua Huang +4 more
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Quantile Connectedness: Modeling Tail Behavior in the Topology of Financial Networks
Management Sciences, 2022 We develop a new technique to estimate vector autoregressions with a common factor error structure by quantile regression. We apply our technique to study credit risk spillovers among a group of 17 sovereigns and their respective financial sectors ...
T. Ando +2 more
semanticscholar +1 more source
Can Food Inflation Be Stabilized By Monetary Policy? A Quantile Regression Approach
Journal of economic impact, 2022 Theoretically, a consistent and well-defined monetary policy can stabilize food inflation. However, empirical findings have reported both positive and negative effects of monetary policy measures on food inflation.
Choudary Ihtasham Ali +5 more
semanticscholar +1 more source
Small area quantile estimation based on distribution function using linear mixed models
Economics and Business Review, 2021 In economic studies researchers are often interested in the estimation of the distribution function or certain functions of the distribution function such as quantiles.
Stachurski Tomasz
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A New Generator of Probability Models: The Exponentiated Sine-G Family for Lifetime Studies
Entropy, 2021 In this article, we propose the exponentiated sine-generated family of distributions. Some important properties are demonstrated, such as the series representation of the probability density function, quantile function, moments, stress-strength ...
Mustapha Muhammad +6 more
doaj +1 more source
Study of a Modified Kumaraswamy Distribution
Mathematics, 2021 In this article, a structural modification of the Kumaraswamy distribution yields a new two-parameter distribution defined on (0,1), called the modified Kumaraswamy distribution.
Rashad A. R. Bantan +5 more
doaj +1 more source
Finance and Stochastics, 1999 The paper deals with construction of a hedging strategy which maximizes the probability of a successful hedge under the objective measure \(P\), given a constraint on the required cost. This concept of quantile hedging can be considered as a dynamic version of the well-known value at risk concept. First the authors consider the general case of complete
Hans FÃllmer, Peter Leukert
openaire +4 more sources
A Quantile-Based g-Computation Approach to Addressing the Effects of Exposure Mixtures [PDF]
Environmental Health Perspectives, 2019 Background: Exposure mixtures frequently occur in data across many domains, particularly in the fields of environmental and nutritional epidemiology. Various strategies have arisen to answer questions about exposure mixtures, including methods such as ...
A. Keil +5 more
semanticscholar +1 more source
Distributional Reinforcement Learning with Quantile Regression [PDF]
AAAI Conference on Artificial Intelligence, 2017 In reinforcement learning (RL), an agent interacts with the environment by taking actions and observing the next state and reward. When sampled probabilistically, these state transitions, rewards, and actions can all induce randomness in the observed
Will Dabney +3 more
semanticscholar +1 more source