Taupo, Biometrics 2009 Introduction to Quantile Regression David Baird VSN NZ, 40 McMahon Drive, Christchurch, New Zealand

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Presentation transcript:

Taupo, Biometrics 2009 Introduction to Quantile Regression David Baird VSN NZ, 40 McMahon Drive, Christchurch, New Zealand

Taupo, Biometrics 2009 Reasons to use quantiles rather than means Analysis of distribution rather than average Robustness Skewed data Interested in representative value Interested in tails of distribution Unequal variation of samples E.g. Income distribution is highly skewed so median relates more to typical person that mean.

Taupo, Biometrics 2009 Quantiles Cumulative Distribution Function Quantile Function Discrete step function

Taupo, Biometrics 2009 Optimality Criteria Linear absolute loss Mean optimizes Quantile τ optimizes I = 0,1 indicator function

Taupo, Biometrics 2009 Regression Quantile Optimize Solution found by Simplex algorithm Add slack variables split e i into positive and negative residuals Solution at vertex of feasible region May be non-unique solution (along edge) - so solution passes through n data points

Taupo, Biometrics 2009 Simple Linear Regression Food Expenditure vs Income Engel 1857 survey of 235 Belgian households Range of Quantiles Change of slope at different quantiles?

Taupo, Biometrics 2009 Variation of Parameter with Quantile

Taupo, Biometrics 2009 Estimation of Confidence Intervals Asymptotic approximation of variation Bootstrapping Novel approach to bootstrapping by reweighting rather than resampling W i ~ Exponential(1) Resampling is a discrete approximation of exponential weighting Avoids changing design points so faster and identical quantiles produced

Taupo, Biometrics 2009 Bootstrap Confidence Limits

Taupo, Biometrics 2009 Polynomials Support points

Taupo, Biometrics 2009 Groups and interactions

Taupo, Biometrics 2009 Splines Generate basis functions Motorcycle Helmet data Acceleration vs Time from impact

Taupo, Biometrics 2009 Loess Generate moving weights using kernel and specified window width

Taupo, Biometrics 2009 Non-Linear Quantile Regression Run Linear quantile regression in non-linear optimizer Quantiles for exponential model

Taupo, Biometrics 2009 Example Melbourne Temperatures

Taupo, Biometrics 2009 Example Melbourne Temperatures

Taupo, Biometrics 2009 Wool Strength Data 5 Farms Breaking strength and cross- sectional area of individual wool fibres measured

Taupo, Biometrics 2009 Fitted Quantiles

Taupo, Biometrics 2009 Fitted Quantiles

Taupo, Biometrics 2009 Fitted Quantiles

Taupo, Biometrics 2009 Fitted Quantiles

Taupo, Biometrics 2009 Fitted Quantiles

Taupo, Biometrics 2009 Wool Strength Data

Taupo, Biometrics 2009 Between Farm Comparisons

Taupo, Biometrics 2009 Software for Quantile Regression SAS Proc QUANTREG (experimental v 9.1) R Package quantreg GenStat 12 edition procedures: RQLINEAR & RQSMOOTH Menu: Stats | Regression | Quantile Regression

Taupo, Biometrics 2009 Reference Roger Koenker, Quantile Regression, Cambridge University Press.