Quality of fit measures in the framework of quantile regression
- Authors
- 노호석; ANOUAR EL GHOUCH; INGRID VAN KEILEGOM
- Issue Date
- Mar-2013
- Publisher
- WILEY-BLACKWELL PUBLISHING
- Citation
- SCANDINAVIAN JOURNAL OF STATISTICS, v.40, no. 1, pp 105 - 118
- Pages
- 14
- Journal Title
- SCANDINAVIAN JOURNAL OF STATISTICS
- Volume
- 40
- Number
- 1
- Start Page
- 105
- End Page
- 118
- URI
- https://scholarworks.sookmyung.ac.kr/handle/2020.sw.sookmyung/11326
- DOI
- 10.1111/j.1467-9469.2012.00792.x
- ISSN
- 0303-6898
1467-9469
- Abstract
- In regression experiments, to learn about the strength of the relationship between a covariate vector and a dependent variable, we propose a coefficient of determination' based on the quantiles. Such a coefficient is a local' measure in the sense that the strength is measured at a prespecified quantile level. Once estimated, it can be used, for example, to measure the relative importance of a subset of covariates in the quantile regression context. Related to this coefficient, we also propose a new local' lack-of-fit measure of a given parametric model. We provide some asymptotic results of the proposed measures and carry out a Monte Carlo simulation study to illustrate their use and performance in practice.
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