Search results for "Quantile"

Functional Linear Regression

2018

This article presents a selected bibliography on functional linear regression (FLR) and highlights the key contributions from both applied and theoretical points of view. It first defines FLR in the case of a scalar response and shows how its modelization can also be extended to the case of a functional response. It then considers two kinds of estimation procedures for this slope parameter: projection-based estimators in which regularization is performed through dimension reduction, such as functional principal component regression, and penalized least squares estimators that take into account a penalized least squares minimization problem. The article proceeds by discussing the main asympt…

Extreme value theory versus traditional GARCH approaches applied to financial data: a comparative evaluation

2013

Although stock prices fluctuate, the variations are relatively small and are frequently assumed to be normally distributed on a large time scale. But sometimes these fluctuations can become determinant, especially when unforeseen large drops in asset prices are observed that could result in huge losses or even in market crashes. The evidence shows that these events happen far more often than would be expected under the generalised assumption of normally distributed financial returns. Thus it is crucial to model distribution tails properly so as to be able to predict the frequency and magnitude of extreme stock price returns. In this paper we follow the approach suggested by McNeil and Frey …

Homeward Bound FDI: Are Migrants a Bridge over Trouble Finance?

2016

Migrants can lower cross-border investment barriers, help investors by providing information about their homeland and reduce transaction costs by sharing expertise on regulations, customs and procedures. In addition to generating these well-known networking effects, migrants can also provide valuable information about local finance, thereby easing the credit constraints foreign investors faced during the 2007 financial crisis. This paper sheds new light on the underlying mechanisms through which migration may affect foreign investment in the migrant's homeland by distinguishing between the effects on FDI's intensive and extensive margins. Gravity estimates for 140 countries for the period 2…

Productivity, Ownership and National Chains: Evidence from the British Retail Sector

2009

Abstract This paper investigates factors explaining firms' productivity differences in the British retail sector. In particular, using simultaneous quantile regressions, it aims to uncover performance gaps stemming from foreign ownership and multinationality, as well as national scale economies. The findings suggest that foreign ownership weakly explains differences in performance across retailers. Only when firms in the upper quantiles of the TFP distribution are compared, the role of foreign ownership gains statistical significance, although with exceptions. In addition, firms able to expand their infrastructure across Great Britain possess a productivity advantage over more local retaile…

Comparing FPCA Based on Conditional Quantile Functions and FPCA Based on Conditional Mean Function

2019

In this work functional principal component analysis (FPCA) based on quantile functions is proposed as an alternative to the classical approach, based on the functional mean. Quantile regression characterizes the conditional distribution of a response variable and, in particular, some features like the tails behavior; smoothing splines have also been usefully applied to quantile regression to allow for a more flexible modelling. This framework finds application in contexts involving multiple high frequency time series, for which the functional data analysis (FDA) approach is a natural choice. Quantile regression is then extended to the estimation of functional quantiles and our proposal exp…

Further considerations on a new indicator for higher education student performance

2016

Il presente lavoro si inserisce nel dibattito internazionale sul sistema di voto universitario e sulla sua sintesi come misura della performance di uno studente. Partendo dalla nuova misura proposta in Adelfio et al. (2014), in questo breve articolo si pone l’enfasi sull’importanza della scelta della misura opportuna, soprattutto nella individuazione delle possibili determinanti della performance, utile nella scelte delle opportune politiche di intervento sulla performance della carriera dello studente. Per richiamare il nuovo indicatore proposto e per fare il confronto con quello esistente, si `e fatto riferimento ai Sistema Universitario italiano. This paper joins the international debate…

Higher-Fidelity Frugal and Accurate Quantile Estimation Using a Novel Incremental <italic>Discretized</italic> Paradigm

2018

Traditional pattern classification works with the moments of the distributions of the features and involves the estimation of the means and variances. As opposed to this, more recently, research has indicated the power of using the quantiles of the distributions because they are more robust and applicable for non-parametric methods. The estimation of the quantiles is even more pertinent when one is mining data streams. However, the complexity of quantile estimation is much higher than the corresponding estimation of the mean and variance, and this increased complexity is more relevant as the size of the data increases. Clearly, in the context of infinite data streams, a computational and sp…

The spatial dimension of the French private rental markets: Evidence from microgeographic data in 2015

2021

International audience; This article draws on data collected by local rental observatories in 12 French urban units in 2015 to analyze the spatial dimension of hedonic rental prices in the private rental market through (i) the spatial heterogeneity between urban units and (ii) the wide variety of contextual and locational characteristics (socio-economic, environmental (dis)amenity, and accessibility) and flexible specifications to capture their potential non-linear influence on rent. Based on a joint test of equality of coefficients across all urban units, we find that hedonic prices differ for 75% of the characteristics, thereby justifying a detailed analysis of heterogeneity. Lyon, Nice, …

Association between greenspace and lung function in Italian children-adolescents

2022

Background: Few studies have examined the impact of urban greenspace exposure on lung function in children-adolescents, and the available evidence is still inconsistent. The aim of the current study was to verify the hypothesis that the effects of greenspace exposure vary with differing levels of lung function of children-adolescents. Methods: Between November 2005 and May 2006, 2150 children-adolescents (age-range: 10-15 years) living in the city of Palermo were enrolled in a cross-sectional survey. Parents were interviewed through a modified version of the Italian Studies on Respiratory Disorders in Children and the Environment (SIDRIA) questionnaire. All children-adolescents performed sp…

Penalized regression and clustering in high-dimensional data

The main goal of this Thesis is to describe numerous statistical techniques that deal with high-dimensional genomic data. The Thesis begins with a review of the literature on penalized regression models, with particular attention to least absolute shrinkage and selection operator (LASSO) or L1-penalty methods. L1 logistic/multinomial regression models are used for variable selection and discriminant analysis with a binary/categorical response variable. The Thesis discusses and compares several methods that are commonly utilized in genetics, and introduces new strategies to select markers according to their informative content and to discriminate clusters by offering reduced panels for popul…