Measurement errors in quantile regression models

2017 ◽  
Vol 198 (1) ◽  
pp. 146-164 ◽  
Author(s):  
Sergio Firpo ◽  
Antonio F. Galvao ◽  
Suyong Song
2016 ◽  
Vol 8 (1) ◽  
pp. 58
Author(s):  
Chikashi Tsuji

This paper empirically examines the forecast power of the previous day’s US implied volatility for large declines of the Nikkei by using several versions of quantile regression models. All our empirical results suggest that the previous day’s US S&P 500 implied volatility has forecast power for large price drops of the Nikkei 225 in Japan. Since we repeatedly and carefully tested the several left tail risks in price changes of the Nikkei and we also tested by using some different versions of quantile regression models, our evidence of the predictive power of the S&P 500 implied volatility for downside risk of the Nikkei is very robust.


2018 ◽  
Vol 2018 ◽  
pp. 1-10 ◽  
Author(s):  
Xuecai Xu ◽  
Željko Šarić

This study intended to investigate the interactions between accident severity levels and traffic signs in state roads located in Croatia and explore the correlation between accident severity levels and heterogeneity attributed to unobserved factors. The data from 460 state roads between 2012 and 2016 were collected from Traffic Accident Database System maintained by the Republic of Croatia Ministry of the Interior. To address the correlation and heterogeneity, Bayesian bivariate Tobit quantile regression models were proposed, in which the bivariate framework addressed the correlation of residuals with Bayesian approach, while the Tobit quantile regression model accommodated the heterogeneity due to unobserved factors. By comparing the Bayesian bivariate Tobit quantile and mean regression models, the proposed quantile models showed priority to mean model. Results revealed that (1) low visibility and the number of invalid traffic signs per km increased the accident rate of material damage, death, or injury; (2) average speed limit exhibited a close relation with accident rate; and (3) the number of mandatory signs was more likely to reduce the accident rate of material damage, while the number of warning signs was significant for accident rate of death or injury.


2018 ◽  
Vol 620 ◽  
pp. A168 ◽  
Author(s):  
G. Valle ◽  
M. Dell’Omodarme ◽  
P. G. Prada Moroni ◽  
S. Degl’Innocenti

Aims. We aim to perform a theoretical investigation on the direct impact of measurement errors in the observational constraints on the recovered age for stars in main sequence (MS) and red giant branch (RGB) phases. We assumed that a mix of classical (effective temperature Teff and metallicity [Fe/H]) and asteroseismic (Δν and νmax) constraints were available for the objects. Methods. Artificial stars were sampled from a reference isochrone and subjected to random Gaussian perturbation in their observational constraints to simulate observational errors. The ages of these synthetic objects were then recovered by means of a Monte Carlo Markov chains approach over a grid of pre-computed stellar models. To account for observational uncertainties the grid covers different values of initial helium abundance and mixing-length parameter, that act as nuisance parameters in the age estimation. Results. The obtained differences between the recovered and true ages were modelled against the errors in the observables. This procedure was performed by means of linear models and projection pursuit regression models. The first class of statistical models provides an easily generalizable result, whose robustness is checked with the second method. From linear models we find that no age error source dominates in all the evolutionary phases. Assuming typical observational uncertainties, for MS the most important error source in the reconstructed age is the effective temperature of the star. An offset of 75 K accounts for an underestimation of the stellar age from 0.4 to 0.6 Gyr for initial and terminal MS. An error of 2.5% in νmax resulted the second most important source of uncertainty accounting for about −0.3 Gyr. The 0.1 dex error in [Fe/H] resulted particularly important only at the end of the MS, producing an age error of −0.4 Gyr. For the RGB phase the dominant source of uncertainty is νmax, causing an underestimation of about 0.6 Gyr; the offset in the effective temperature and Δν caused respectively an underestimation and overestimation of 0.3 Gyr. We find that the inference from the linear model is a good proxy for that from projection pursuit regression models. Therefore, inference from linear models can be safely used thanks to its broader generalizability. Finally, we explored the impact on age estimates of adding the luminosity to the previously discussed observational constraints. To this purpose, we assumed – for computational reasons – a 2.5% error in luminosity, much lower than the average error in the Gaia DR2 catalogue. However, even in this optimistic case, the addition of the luminosity does not increase precision of age estimates. Moreover, the luminosity resulted as a major contributor to the variability in the estimated ages, accounting for an error of about −0.3 Gyr in the explored evolutionary phases.


2021 ◽  
Vol 11 (1) ◽  
Author(s):  
Akram Yazdani ◽  
Mehdi Yaseri ◽  
Shahpar Haghighat ◽  
Ahmad Kaviani ◽  
Hojjat Zeraati

AbstractThe Cox proportional hazards model is a widely used statistical method for the censored data that model the hazard rate rather than survival time. To overcome complexity of interpreting hazard ratio, quantile regression was introduced for censored data with more straightforward interpretation. Different methods for analyzing censored data using quantile regression model, have been introduced. The quantile regression approach models the quantile function of failure time and investigates the covariate effects in different quantiles. In this model, the covariate effects can be changed for patients with different risk and is a flexible model for controlling the heterogeneity of covariate effects. We illustrated and compared five methods in quantile regression for right censored data included Portnoy, Wang and Wang, Bottai and Zhang, Yang and De Backer methods. The comparison was made through the use of these methods in modeling the survival time of breast cancer. According to the results of quantile regression models, tumor grade and stage of the disease were identified as significant factors affecting 20th percentile of survival time. In Bottai and Zhang method, 20th percentile of survival time for a case with higher unit of stage decreased about 14 months and 20th percentile of survival time for a case with higher grade decreased about 13 months. The quantile regression models acted the same to determine prognostic factors of breast cancer survival in most of the time. The estimated coefficients of five methods were close to each other for quantiles lower than 0.1 and they were different from quantiles upper than 0.1.


Bernoulli ◽  
2019 ◽  
Vol 25 (4B) ◽  
pp. 3311-3338
Author(s):  
Toshio Honda ◽  
Ching-Kang Ing ◽  
Wei-Ying Wu

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