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Bibliografie

Journal Article

Empirical regression quantile process

Jurečková Jana, Picek J., Schindler M.

: Applications of Mathematics vol.65, 3 (2020), p. 257-269

: GA18-01137S, GA ČR

: averaged regression quantile, R-estimator, functionals of the quantile process

: 10.21136/AM.2020.0295-19

: http://library.utia.cas.cz/separaty/2020/SI/jureckova-0532048.pdf

: https://link.springer.com/article/10.21136/AM.2020.0295-19

(eng): We address the problem of estimating quantile-based statistical functionals, when the measured or controlled entities depend on exogenous variables which are not under\nour control. As a suitable tool we propose the empirical process of the average regression quantiles. It partially masks the effect of covariates and has other properties convenient\nfor applications, e.g. for coherent risk measures of various types in the situations with covariates.

: BA

: 10103

07.01.2019 - 08:39