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Conditional quantile estimation using optimal quantization: a numerical study

hal.structure.identifierInstitut de Mathématiques de Bordeaux [IMB]
hal.structure.identifierQuality control and dynamic reliability [CQFD]
hal.structure.identifierEuropean Center for Advanced Research in Economics and Statistics [ECARES]
hal.structure.identifierDépartement de Mathématique [Bruxelles] [ULB]
dc.contributor.authorCHARLIER, Isabelle
hal.structure.identifierEuropean Center for Advanced Research in Economics and Statistics [ECARES]
hal.structure.identifierDépartement de Mathématique [Bruxelles] [ULB]
dc.contributor.authorPAINDAVEINE, Davy
hal.structure.identifierInstitut de Mathématiques de Bordeaux [IMB]
hal.structure.identifierQuality control and dynamic reliability [CQFD]
dc.contributor.authorSARACCO, Jérôme
dc.date.accessioned2024-04-04T03:19:13Z
dc.date.available2024-04-04T03:19:13Z
dc.date.conference2014-08-19
dc.identifier.urihttps://oskar-bordeaux.fr/handle/20.500.12278/194485
dc.description.abstractEnWe construct a nonparametric estimator of conditional quantiles of Y given X = x using optimal quantization. Conditional quantiles are particularly of interest when the condi-tional mean is not representative of the impact of the covariable X on the dependent variable Y . L p -norm optimal quantization is a discretizing method used since the 1950's in engineer-ing. It allows to construct the best approximation of a continuous law with a discrete law with support of size N . The aim of this work is then to use optimal quantization to construct con-ditional quantile estimators. We study the convergence of the approximation (N → ∞) and the consistency of the resulting estimator for this fixed-N approximation. This estimator was implemented in R in order to evaluate the numerical behavior and to compare it with existing methods.
dc.language.isoen
dc.subject.enNonparametric estimation
dc.subject.enConditional quantile
dc.subject.enOptimal quantization
dc.title.enConditional quantile estimation using optimal quantization: a numerical study
dc.typeCommunication dans un congrès
dc.subject.halMathématiques [math]/Statistiques [math.ST]
bordeaux.hal.laboratoriesInstitut de Mathématiques de Bordeaux (IMB) - UMR 5251*
bordeaux.institutionUniversité de Bordeaux
bordeaux.institutionBordeaux INP
bordeaux.institutionCNRS
bordeaux.conference.titleInternational Conference on Computational Statistics (COMPSTAT'2014)
bordeaux.countryCH
bordeaux.conference.cityGenève
bordeaux.peerReviewedoui
hal.identifierhal-01109009
hal.version1
hal.invitednon
hal.proceedingsoui
hal.conference.end2014-08-22
hal.popularnon
hal.audienceInternationale
hal.origin.linkhttps://hal.archives-ouvertes.fr//hal-01109009v1
bordeaux.COinSctx_ver=Z39.88-2004&rft_val_fmt=info:ofi/fmt:kev:mtx:journal&rft.au=CHARLIER,%20Isabelle&PAINDAVEINE,%20Davy&SARACCO,%20J%C3%A9r%C3%B4me&rft.genre=unknown


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