Related papers: Spline Autoregression Method for Estimation of Qua…
In this article, we present a novel approach to multivariate probabilistic forecasting. Our approach is based on an extension of single-output quantile regression (QR) to multivariate-targets, called quantile surfaces (QS). QS uses a simple…
The vector autoregressive (VAR) model has been widely used for modeling temporal dependence in a multivariate time series. For large (and even moderate) dimensions, the number of AR coefficients can be prohibitively large, resulting in…
Spatial dependent data frequently occur in many fields such as spatial econometrics and epidemiology. To deal with the dependence of variables and estimate quantile-specific effects by covariates, spatial quantile autoregressive models…
This paper deals with a linear model of regression on quantiles when the explanatory variable takes values in some functional space and the response is scalar. We propose a spline estimator of the functional coefficient that minimizes a…
Quantile regression (QR) is a statistical tool for distribution-free estimation of conditional quantiles of a target variable given explanatory features. QR is limited by the assumption that the target distribution is univariate and defined…
We propose a multiscale approach to time series autoregression, in which linear regressors for the process in question include features of its own path that live on multiple timescales. We take these multiscale features to be the recent…
Classical spectral methods are subject to two fundamental limitations: they only can account for covariance-related serial dependencies, and they require second-order stationarity. Much attention has been devoted lately to quantile-based…
Mixed spatial autoregressive (SAR) models with numerical covariates have been well studied. However, as non-numerical data, such as functional data and compositional data, receive substantial amounts of attention and are applied to…
Causal inference in multivariate time series is challenging due to the fact that the sampling rate may not be as fast as the timescale of the causal interactions. In this context, we can view our observed series as a subsampled version of…
The use of Synthetic Aperture Radar (SAR) has greatly advanced our capacity for comprehensive Earth monitoring, providing detailed insights into terrestrial surface use and cover regardless of weather conditions, and at any time of day or…
Nonlinear dynamic volatility has been observed in many financial time series. The recently proposed quantile periodogram offers an alternative way to examine this phenomena in the frequency domain. The quantile periodogram is constructed…
Quantile regression (QR) is a principal regression method for analyzing the impact of covariates on outcomes. The impact is described by the conditional quantile function and its functionals. In this paper we develop the nonparametric…
Linear regression is a data analysis technique, which is categorized as supervised learning. By utilizing known data, we can predict unknown data. Recently, researchers have explored the use of quantum annealing (QA) to perform linear…
We propose a bivariate quantile regression method for the bivariate varying coefficient model through a directional approach. The varying coefficients are approximated by the B-spline basis and an $L_{2}$ type penalty is imposed to achieve…
Regression models that go beyond the mean, alongside coherent risk measures, have been important tools in modern data analysis. This paper introduces the innovative concept of Average Quantile Regression (AQR), which is smooth at the…
While the Vector Autoregression (VAR) model has received extensive attention for modelling complex time series, quantile VAR analysis remains relatively underexplored for high-dimensional time series data. To address this disparity, we…
This study extends the Bayesian nonparametric instrumental variable regression model to determine the structural effects of covariates on the conditional quantile of the response variable. The error distribution is nonparametrically…
Learning vector autoregressive models from multivariate time series is conventionally approached through least squares or maximum likelihood estimation. These methods typically assume a fully connected model which provides no direct insight…
The increasing value of data held in enterprises makes it an attractive target to attackers. The increasing likelihood and impact of a cyber attack have highlighted the importance of effective cyber risk estimation. We propose two methods…
We propose a prediction procedure for the functional linear quantile regression model by using partial quantile covariance techniques and develop a simple partial quantile regression (SIMPQR) algorithm to efficiently extract partial…