Quantile regression offers a more complete statistical model than mean regression and now has widespread applications. Consequently, we provide a review of this technique. We begin with an ...

Journal of the Royal Statistical Society. Series B (Statistical Methodology), Vol. 80, No. 5 (2018), pp. 975-993 (19 pages) Estimating conditional quantiles of financial time series is essential for ...

Copula models have emerged as a pivotal tool in modern statistical analysis by enabling researchers to disentangle marginal behaviours from their joint dependency structures. This flexibility is ...

One of the more difficult challenges for modeling is deciding how (or if) to deal with extreme data points. It’s a common problem in economic and financial numbers. Fat tailed distributions are ...

Dr. James McCaffrey from Microsoft Research presents a complete end-to-end demonstration of neural network quantile regression. The goal of a quantile regression problem is to predict a single numeric ...