Questions tagged [quantiles]
The quantiles of a distribution refer to points on its cumulative distribution function. Some common quantiles are quartiles and percentiles.
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True slope parameter for quantile regression with heterogeneous error
I am trying to perform a Monte-Carlo simulation on quantile regression using R. Currently I am getting stuck simulating the data from the model below.
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Weighted quantile sum (WQS) and Cox model
I am working on weighted quantile sum (WQS), and I know that the WQS index obtained represents the effect of the mixture on my outcome.
In order to know which effect the mixture has on my outcome in ...
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How to calculate the distribution of an average (I don't have the joint distribution but know they are strongly correlated)
The background
Admission to certain schools depends on the results of two standardised tests. The scores range from 60 to 150 in each test.
For each student, the average score across the two tests is ...
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The Expectation of the Difference of Sample Quantile and Population Quantile
Suppose a distribution function $F(\cdot)$ is continuous. For some $\tau \in (0, 1)$, the $\tau$th quantile is defined as
$$
Q_\tau = \inf \{ x : F(x) \ge \tau \}.
$$
For an i.i.d. sample $X_1, \dots, ...
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How Do Quartiles Help Us Understand a Dataset?
It’s confusing to understand how quartile values can actually be used to give insights into a dataset. Please assist with examples. I struggle to interpret the values in the context of providing ...
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Why is median treatment effect not estimable?
The recent paper Addanki and Bhandari (2024) claims the median treatment effect (MTE) cannot be estimated for treatment and control groups in an observational study.
The authors illustrate with an ...
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What is "the best" way to compute the quantile function from a kernel of the density function?
Suppose we have a non-negative random variable $X$ with a known kernel function $k$ for the density function (i.e., we know the density only up to a constant of proportionality). The quantile ...
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Can I have some help choosing a very low-sample estimator?
I want to forecast what next semester's finances may look like, regarding my campus job. I get paid bi-weekly, and have eight past data points: ...
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General advice for interpreting DHARMa quantile plots
I could use some help interpreting DHARMa quantile plots. I understand that, ideally, the three quantile lines should be both horizontal and parallel and that deviations from this ideal could indicate ...
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Suggestions constrained optimization with noisy observations
For $N$ correlated Ornstein-Uhlenbeck processes, I want to find $N$ absorption boundaries, $\mathbf{A}\in\mathbb{R}^{N}$, such that expected value of the summed $N$ processes is maximized, while the ...
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Minimum number of observations quantile regression
My goal is to estimate the market beta (so exposure of an asset returns to market shocks) in quantiles :
$Q_{r_i|r_M} = a_0(\tau) + \beta_i(\tau)r_M+\varepsilon_i(\tau)$
where $r_i$ are asset returns (...
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Value-at-risk calculation for DCC-GARCH model in rmgarch package
I use rmgarch package for DCC-GARCH model fitting and making forecasts (covariance matrix and MUs) of my portfolio based on it (one-step). So, I use ...
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Is there a way to force my MCMC sampler to sample values outside the range of the data?
I am working with a posterior distribution that I believe has essentially no mass outside the range of the data. When sampling values of my parameter, they seem to be always be constrained to live ...
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How Can I Match 0.75 Percentile Results From Database with Pandas?
I am making calculations for a box and whisker chart in my database and want to validate results against Pandas results. I can't figure out why the ...
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Choosing the number of percentiles to be determined from dataset, for distribution fitting
If I have a dataset of $N$ values, and I want to fit a probability distribution to it, I would calculate the percentiles of the scores in the dataset. However, I am troubled by the number of ...
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