On weighted and locally polynomial directional quantile regression

Kód výsledku v IS VaVaI

<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F67985556%3A_____%2F17%3A00474696" target="_blank" >RIV/67985556:_____/17:00474696 - isvavai.cz</a>

Výsledek na webu

<a href="http://dx.doi.org/10.1007/s00180-016-0708-9" target="_blank" >http://dx.doi.org/10.1007/s00180-016-0708-9</a>

DOI - Digital Object Identifier

<a href="http://dx.doi.org/10.1007/s00180-016-0708-9" target="_blank" >10.1007/s00180-016-0708-9</a>

Jazyk výsledku

angličtina

Název v původním jazyce

On weighted and locally polynomial directional quantile regression

Popis výsledku v původním jazyce

The article deals with certain quantile regression methods for vector responses. In particular, it describes weighted and locally polynomial extensions to the projectional quantile regression, discusses their properties, addresses their computational side, compares their outcome with recent analogous generalizations of the competing multiple-output directional quantile regression, demonstrates a link between the two competing methodologies, complements the results already available in the literature, illustrates the concepts with a few simulated and insightful examples illustrating some of their features, and shows their application to a real financial data set, namely to Forex 1M exchange rates. The real-data example strongly indicates that the presented methods might have a huge impact on the analysis of multivariate time series consisting of two to four dimensional observations.

Název v anglickém jazyce

On weighted and locally polynomial directional quantile regression

Popis výsledku anglicky

The article deals with certain quantile regression methods for vector responses. In particular, it describes weighted and locally polynomial extensions to the projectional quantile regression, discusses their properties, addresses their computational side, compares their outcome with recent analogous generalizations of the competing multiple-output directional quantile regression, demonstrates a link between the two competing methodologies, complements the results already available in the literature, illustrates the concepts with a few simulated and insightful examples illustrating some of their features, and shows their application to a real financial data set, namely to Forex 1M exchange rates. The real-data example strongly indicates that the presented methods might have a huge impact on the analysis of multivariate time series consisting of two to four dimensional observations.

Druh

J_imp - Článek v periodiku v databázi Web of Science

CEP obor

—

OECD FORD obor

10201 - Computer sciences, information science, bioinformathics (hardware development to be 2.2, social aspect to be 5.8)

Projekt

<a href="/cs/project/GA14-07234S" target="_blank" >GA14-07234S: Mnohorozměrné regresní kvantily v ekonometrii</a><br>

Návaznosti

P - Projekt vyzkumu a vyvoje financovany z verejnych zdroju (s odkazem do CEP)

Rok uplatnění

2017

Kód důvěrnosti údajů

S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

Název periodika

Computational Statistics

ISSN

0943-4062

e-ISSN

—

Svazek periodika

32

Číslo periodika v rámci svazku

3

Stát vydavatele periodika

DE - Spolková republika Německo

Počet stran výsledku

18

Strana od-do

929-946

Kód UT WoS článku

000406683400006

EID výsledku v databázi Scopus

2-s2.0-85009231891