Vertaile menetelmiä
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| Robust Quantile-on-Quantile (RQQR) -regressio× | Kvanttiili-kvanttiili (QQ) -regressio× | |
|---|---|---|
| Tieteenala | Ekonometria | Ekonometria |
| Menetelmäperhe | Regression model | Regression model |
| Syntyvuosi≠ | 2015–2020s | 2015 |
| Kehittäjä≠ | Sim and Zhou (2015) for QQ regression; robust extensions developed subsequently in the literature | Sim and Zhou |
| Tyyppi | Nonparametric quantile regression | Nonparametric quantile regression |
| Alkuperäislähde≠ | Sim, N., & Zhou, H. (2015). Oil prices, US stock return, and the dependence between their quantiles. Journal of Banking & Finance, 55, 1–8. DOI ↗ | Sim, N., & Zhou, H. (2015). Oil prices, US stock return, and the dependence between their quantiles. Journal of Banking and Finance, 55, 1-8. DOI ↗ |
| Rinnakkaisnimet | RQQR, robust QQ regression, robust quantile-on-quantile, outlier-robust QQR | QQ regression, QQ approach, quantile-on-quantile approach, nonparametric quantile regression |
| Liittyvät≠ | 3 | 6 |
| Tiivistelmä≠ | Robust Quantile-on-Quantile Regression extends the QQ framework of Sim and Zhou (2015) by adding resistance to outliers and heavy-tailed distributions. It estimates how each quantile of one variable responds to each quantile of another, producing a full dependence surface while guarding against leverage points that can distort standard QQ estimates. | Quantile-on-quantile regression is a nonparametric technique that estimates how the quantiles of one variable depend on the quantiles of another. By combining standard quantile regression with local linear smoothing, it produces a full two-dimensional surface of slope coefficients indexed by both the quantile of the outcome and the quantile of the predictor, revealing heterogeneous and asymmetric dependency structures invisible to standard regression. |
| ScholarGateAineisto ↗ |
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