Narrow search
Showing 1 - 10 of 3,578
Cover Image
Interpretation of point forecasts with unknown directive
Schmidt, Patrick; Katzfuss, Matthias; Gneiting, Tilmann - In: Journal of Applied Econometrics 36 (2021) 6, pp. 728-743
Point forecasts can be interpreted as functionals (i.e., point summaries) of predictive distributions. We extend methodology for the identification of the functional based on time series of point forecasts and associated realizations. Focusing on state‐dependent quantiles and expectiles, we...
Persistent link: https://www.econbiz.de/10014485961
Cover Image
Quantiles as optimal point forecasts
Gneiting, Tilmann - In: International Journal of Forecasting 27 (2011) 2, pp. 197-207
linear (GPL). The level of the quantile depends on a generic asymmetry parameter which reflects the possibly distinct costs … scoring rules, incentive-compatible compensation schemes and quantile regression. In the empirical part of the paper, the …
Persistent link: https://www.econbiz.de/10010577337
Cover Image
A Measure-Valued Differentiation Approach to Sensitivity Analysis of Quantiles
Heidergott, Bernd; Volk-Makarewicz, Warren - 2013
for quantile sensitivities by means of sample path differentiation. This has led to an intensive search for sample …-path differentiation based estimators for quantile sensitivities. In this paper we present a novel approach to quantile sensitivity … to the parameter of interest. Specifically, we perform a sensitivity analysis of the quantile of the value of a multi …
Persistent link: https://www.econbiz.de/10010326413
Cover Image
The cross-quantilogram: Measuring quantile dependence and testing directional predictability between time series
Han, Heejoon; Linton, Oliver; Oka, Tatsushi; Whang, Yoon-Jae - 2014
This paper proposes the cross-quantilogram to measure the quantile dependence between two time series. We apply it to …
Persistent link: https://www.econbiz.de/10010368200
Cover Image
Interquantile Expectation Regression
Barendse, Sander - 2017
interval between two quantiles, or in an interval that covers the range of the distribution to the left or right of a quantile …
Persistent link: https://www.econbiz.de/10011662532
Cover Image
Estimating and forecasting conditional risk measures with extreme value theory: A review
Bee, Marco; Trapin, Luca - In: Risks 6 (2018) 2, pp. 1-16
One of the key components of financial risk management is risk measurement. This typically requires modeling, estimating and forecasting tail-related quantities of the asset returns' conditional distribution. Recent advances in the financial econometrics literature have developed several models...
Persistent link: https://www.econbiz.de/10011996603
Cover Image
Simulating Income Distribution Changes in Bolivia: a Microeconometric Approach
Gasparini, Leonardo; Marchionni, Mariana; Gutierrez, … - 2004
for the next decade. Wage equations for urban and rural areas estimated by both OLS and quantile regression are the main …
Persistent link: https://www.econbiz.de/10011941067
Cover Image
Distribution regression with sample selection, with an application to wage decompositions in the UK
Chernozhukov, Victor; Fernández-Val, Iván; Luo, Siyi - 2018
We develop a distribution regression model under endogenous sample selection. This model is a semiparametric generalization of the Heckman selection model that accommodates much rich patterns of heterogeneity in the selection process and effect of the covariates. The model applies to continuous,...
Persistent link: https://www.econbiz.de/10011941553
Cover Image
Topp–Leone Linear Exponential Distribution
Atem, Bol A. M.; Nasiru, Suleman; Nantomah, Kwara - In: Stochastics and Quality Control 33 (2018) 1, pp. 31-43
Abstract This article studies the properties of the Topp–Leone linear exponential distribution. The parameters of the new model are estimated using maximum likelihood estimation, and simulation studies are performed to examine the finite sample properties of the parameters. An application of...
Persistent link: https://www.econbiz.de/10014591016
Cover Image
Iterated smoothed bootstrap confidence intervals for population quantiles
Ho, YHS; Lee, SMS - 2005
-sided coverage errors of orders O(n−1/2) and o(n−2/3), respectively, for intervals based on the sample quantile of a random sample of …
Persistent link: https://www.econbiz.de/10009471434