• Journal of the Korean Statistical Society
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• 제32권1호
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• pp.47-64
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• 2003

In this paper, we consider the asymptotic properties of asymmetric least squares estimators for nonlinear regression models. This paper provides sufficient conditions for strong consistency and asymptotic normality of the proposed estimators and derives asymptotic relative efficiency of the pro-posed estimators to the regression quantile estimators. We give some examples and results of a Monte Carlo simulation to compare the asymmetric least squares estimators with the regression quantile estimators.

• Communications for Statistical Applications and Methods
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• 제12권1호
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• pp.169-179
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• 2005

In this study, we investigate the effects of the weight function in the bounded influence regression quantile (BIRQ) estimator for the AR(l) model with additive outliers. In order to down-weight the outliers of X -axis, the Mallows' (1973) weight function has been commonly used in the BIRQ estimator. However, in our Monte Carlo study, the BIRQ estimator using the Tukey's bisquare weight function shows less MSE and bias than that of using the Mallows' weight function or Huber's weight function. Thus, the use of the Tukey's weight function is recommended in the BIRQ estimator for our model.

• Journal of the Korean Data and Information Science Society
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• 제22권3호
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• pp.589-596
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• 2011

The conditional autoregressive value at risk (CAViaR) model is useful for risk management, which does not require the assumption that the conditional distribution does not vary over time but the volatility does. But it does not provide volatility forecasts, which are needed for several important applications such as option pricing and portfolio management. For a variety of probability distributions, it is known that there is a constant relationship between the standard deviation and the distance between symmetric quantiles in the tails of the distribution. This inspires us to use a support vector quantile regression (SVQR) for volatility forecasts with the distance between CAViaR forecasts of symmetric quantiles. Simulated example and real example are provided to indicate the usefulness of proposed forecasting method for volatility.

• 응용통계연구
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• 제21권4호
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• pp.631-638
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• 2008

가속수명시험은 실제 사용조건보다 열악한 수준으로 시험하여 빠른 기간 내에 제품의 고장자료를 얻고, 실제 사용조건에서의 수명관련 품질 특성치를 추정하는 방법이다. 본 논문에서는 가속수명 자료를 이용하여 분위수 회귀추정 방법을 통해 정상 조건에서의 수명을 추정하는 방법을 제안한다. 대표적인 가속 스트레스인 온도와 전압을 갖는 실제 자료에 분위수 회귀 모형을 적용하여 수명을 추정하였다.

• Communications for Statistical Applications and Methods
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• 제20권4호
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• pp.259-270
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• 2013

This paper considers a penalized composite quantile regression (CQR) that performs a variable selection in the linear model with grouped variables. An adaptive sup-norm penalized CQR (ASCQR) is proposed to select variables in a grouped manner; in addition, the consistency and oracle property of the resulting estimator are also derived under some regularity conditions. To improve the efficiency of estimation and variable selection, this paper suggests the two-stage penalized CQR (TSCQR), which uses the ASCQR to select relevant groups in the first stage and the adaptive lasso penalized CQR to select important variables in the second stage. Simulation studies are conducted to illustrate the finite sample performance of the proposed methods.

• Communications for Statistical Applications and Methods
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• 제17권2호
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• pp.183-191
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• 2010

Support vector quantile regression(SVQR) is capable of providing more complete description of the linear and nonlinear relationships among random variables. In this paper we propose an iterative reweighted least squares(IRWLS) procedure to solve the problem of SVQR with a weighted quadratic loss function. Furthermore, we introduce the generalized approximate cross validation function to select the hyperparameters which affect the performance of SVQR. Experimental results are then presented which illustrate the performance of the IRWLS procedure for SVQR.

• 한국수자원학회:학술대회논문집
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• 한국수자원학회 2020년도 학술발표회
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• pp.170-170
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• 2020

Due to the development of technologies, complex computation of huge data set is possible with a prevalent personal computer. Therefore, machine learning methods have been widely applied in the hydrologic field such as regression-based regional frequency analysis (RFA). The main purpose of this study is to compare two frameworks of RFA based on the artificial neural network (ANN) models: quantile regression technique (QRT-ANN) and parameter regression technique (PRT-ANN). As an output layer of the ANN model, the QRT-ANN predicts quantiles for various return periods whereas the PRT-ANN provides prediction of three parameters for the generalized extreme value distribution. Rainfall gauging sites where record length is more than 20 years were selected and their annual maximum rainfalls and various hydro-meteorological variables were used as an input layer of the ANN model. While employing the ANN model, 70% and 30% of gauging sites were used as training set and testing set, respectively. For each technique, ANN model structure such as number of hidden layers and nodes was determined by a leave-one-out validation with calculating root mean square error (RMSE). To assess the performances of two frameworks, RMSEs of quantile predicted by the QRT-ANN are compared to those of the PRT-ANN.

• 노동경제논집
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• 제28권1호
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• pp.135-156
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• 2005

본 연구에서는 자영업 부문의 소득분포 및 소득결정요인을 임금근로와 비교 분석하였다. 자영업 부문은 임금근로보다 소득편차가 크고, 부문내 이질성이 큰 집단이라는 점에서, OLS 추정과 더불어 분위회귀분석(quantile regression analysis)을 실시하였다. 주요 분석 결과를 보면, 첫째, 자영업주의 소득이 임금근로자보다 높으며, 소득분위가 높아질수록 자영업주와 임금근로자간의 소득격차가 확대된다. 둘째, 교육의 한계효과는 자영업주와 임금근로자 공히 소득분위가 높아질수록 증가하고 있어, 소득분위가 높은 집단일수록 교육에 대한 보상(가격)이 높다는 것을 알 수 있다. 단, 여성 자영업주의 경우는 예외로서, 소득분위가 높을수록 교육의 한계효과가 감소한다. 즉 소득분위가 높은 집단에 속하는 임금근로자와 남성 자영업주는 소득분위가 낮은 집단에 비해 노동시장에서 교육에 대한 보상이 더 큰 반면, 여성 자영업주는 소득분위가 높은 집단에서 교육에 대한 보상이 오히려 작다.

• Animal Bioscience
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• 제34권4호
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• pp.506-515
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• 2021

Objective: Initial consequence of inbreeding is inbreeding depression which impairs the performance of growth, production, health, fertility and survival traits in different animal breeds and populations. The effect of inbreeding on economically important traits should be accurately estimated. The effect of inbreeding depression on growth traits in sheep has been reported in many breeds. Based on this, the main objective of the present research was to evaluate the impact of inbreeding on some growth traits of Iranian Baluchi sheep breed using quantile regression model. Methods: Pedigree and growth traits records of 13,633 Baluchi lambs born from year 1989 to 2016 were used in this research. The traits were birth weight, weaning weight, six-month weight, nine-month weight, and yearling weight. The contribution, inbreeding and co-ancestry software was used to calculate the pedigree statistics and inbreeding coefficients. To evaluate the impact of inbreeding on different quantiles of each growth trait, a series of quantile regression models were fitted using QUANTREG procedure of SAS software. Annual trend of inbreeding was also estimated fitting a simple linear regression of lamb's inbreeding coefficient on the birth year. Results: Average inbreeding coefficient of the population was 1.63 percent. Annual increase rate of inbreeding of the flock was 0.11 percent (p<0.01). The results showed that the effect of inbreeding in different quantiles of growth traits is not similar. Also, inbreeding affected differently on growth traits, considering lambs' sex and type of birth. Conclusion: Quantile regression revealed that inbreeding did not have similar effect on different quantiles of growth traits in Iranian Baluchi lambs indicating that at a given age and inbreeding coefficient, lambs with different sex and birth type were not equally influenced by inbreeding.

• 한국통계학회:학술대회논문집
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• 한국통계학회 2004년도 학술발표논문집
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• pp.129-134
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• 2004

In this study, we investigate the effects of the weight function in the bounded influence regression quantile (BIRQ) estimator for the AR(1) model with additive outliers. In order to down-weight the outliers of X-axis, the Mallows' (1973) weight function has been commonly used in the BIRQ estimator. However, in our Monte Carlo study, the BIRQ estimator using the Tukey's bisquare weight function shows less MSE and bias than that of using the Mallows' weight function or Huber's weight function.