Quantile Regression

Roger Kroenker - Collection Econometric Society Monographs

366 pages, parution le 07/12/2005

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Résumé

Quantile regression is gradually emerging as a unified statistical methodology for estimating models of conditional quantile functions. By complementing the exclusive focus of classical least squares regression on the conditional mean, quantile regression offers a systematic strategy for examining how covariates influence the location, scale and shape of the entire response distribution. This monograph is the first comprehensive treatment of the subject, encompassing models that are linear and nonlinear, parametric and nonparametric. The author has devoted more than 25 years of research to this topic. The methods in the analysis are illustrated with a variety of applications from economics, biology, ecology and finance. The treatment will find its core audiences in econometrics, statistics, and applied mathematics in addition to the disciplines cited above.

First comprehensive study of quantile regression methods
Tutorial on associated statistical software in R
Illustrative applications from a broad variety of disciplines

Sommaire

Introduction
Fundamentals of quantile regression
Inference for quantile regression
Asymptotic theory of quantile regression
L-statistics and weighted quantile regression
Computational aspects of quantile regression
Nonparametric quantile regression
Twilight zone of quantile regression
Conclusion
A Quantile regression in R : a vignette
B Asymptotic critical values

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	PAPIER
Éditeur(s)	Cambridge University Press
Auteur(s)	Roger Kroenker
Collection	Econometric Society Monographs
Parution	07/12/2005
Nb. de pages	366
Format	15 x 23
Couverture	Broché
Poids	490g
Intérieur	Noir et Blanc
EAN13	9780521608275
ISBN13	978-0-521-60827-5