Averaged extreme regression quantile

DOI10.1007/S10687-015-0232-2MaRDI QIDQ262533zbMATHOpenAlexFDO

Authors Jana Jurečková

Publication date 30 March 2016

Published in Extremes (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1512.01382

zbMATH Keywords

averaged extreme regression quantileextreme regression quantileR-estimatorregression rank scores

Mathematics Subject Classification ID

Linear regression; mixed models (62J05) Extreme value theory; extremal stochastic processes (60G70) Statistics of extreme values; tail inference (62G32) Linear programming (90C05) Order statistics; empirical distribution functions (62G30)

Abstract: Various events in the nature, economics and in other areas force us to combine the study of extremes with regression and other methods. A useful tool for reducing the role of nuisance regression, while we are interested in the shape or tails of the basic distribution, is provided by the averaged regression quantile and namely by the average extreme regression quantile. Both are weighted means of regression quantile components, with weights depending on the regressors. Our primary interest is the averaged extreme regression quantile (AERQ), its structure, qualities and its applications, e.g. in investigation of a conditional loss given a value exogenous economic and market variables. AERQ has several interesting equivalent forms: While it is originally defined as an optimal solution of a specific linear programming problem, hence is a weighted mean of responses corresponding to the optimal base of the pertaining linear program, we give another equivalent form as a maximum residual of responses from a specific R-estimator of the slope components of regression parameter. The latter form shows that while AERQ equals to the maximum of some residuals of the responses, it has minimal possible perturbation by the regressors. Notice that these finite-sample results are true even for non-identically distributed model errors, e.g. under heteroscedasticity. Moreover, the representations are formally true even when the errors are dependent - this all provokes a question of the right interpretation and of other possible applications.

Recommendations

• On extreme regression quantiles
• On kernel smoothing for extremal quantile regression
• Extremile Regression
• scientific article; zbMATH DE number 5770651
• Extremal quantile regression

Cites work

• scientific article; zbMATH DE number 5769854 (Why is no real title available?)
• scientific article; zbMATH DE number 5770651 (Why is no real title available?)
• scientific article; zbMATH DE number 3229181 (Why is no real title available?)
• A property of the observations fit by the extreme regression quantiles
• An Empirical Quantile Function for Linear Models with | operatornameiid Errors
• Averaged Regression Quantiles
• Estimating Regression Coefficients by Minimizing the Dispersion of the Residuals
• Extremal quantile regression
• Limiting distributions of linear programming estimators
• Nonparametric estimation of conditional VaR and expected shortfall
• Nonregular regression
• On extreme regression quantiles
• Quantile regression.
• Regression Quantiles
• Regression rank scores and regression quantiles
• Superquantile regression with applications to buffered reliability, uncertainty quantification, and conditional value-at-risk

Cited in

(6)

• Empirical regression quantile processes.
• Averaged Autoregression Quantiles in Autoregressive Model
• scientific article; zbMATH DE number 5770651 (Why is no real title available?)
• Regression quantile and averaged regression quantile processes
• Average collapsibility of distribution dependence and quantile regression coefficients
• A class of optimization problems motivated by rank estimators in robust regression

This page was built for publication: Averaged extreme regression quantile

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q262533)