In finance there is growing interest in quantile regression with the particular focus on value at risk and copula models. In this paper, we first present a general interpretation of quantile regression in the context of financial markets. We then explore the full distributional impact of factors...

Data is reanalyzed from an important series of 19th century experiments conducted by C. S. Peirce and designed to study the plausibility of the Gaussian law of errors for astronomical observations. Contrary to the findings of Peirce, but in accordance with subsequent analysis by Fréchet and...

Additive models for conditional quantile functions provide an attractive framework for nonparametric regression applications focused on features of the response beyond its central tendency. Total variation roughness penalities can be used to control the smoothness of the additive components much...