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Jean-Morlet Chair 2020 - Research School: Quasi-Monte Carlo Methods and Applications / Chaire Jean-Morlet 2020 - Ecole: Méthode de quasi-Monte-Carlo et applications

Collection Jean-Morlet Chair 2020 - Research School: Quasi-Monte Carlo Methods and Applications / Chaire Jean-Morlet 2020 - Ecole: Méthode de quasi-Monte-Carlo et applications

Organizer(s) Rivat, Joël ; Thonhauser, Stefan ; Tichy, Robert
Date(s) 02/11/2020 - 07/11/2020
linked URL https://www.chairejeanmorlet.com/2255.html
00:00:00 / 00:00:00
12 15

On the estimation of conditional quantiles - lecture 2

By Véronique Maume-Deschamps

Estimation of conditional quantiles is requiered for many purposes, in particular when the conditional mean is not suffisiant to describe the impact of covariates on the dependent variable. For example, one may estimate the quantile of one financial index (e.g. WisdomTree Japan Hedged Equity Fund) knowing financial indeces from other countries. It is also requiered to estimated conditional quantiles in Quantile Oriented Sensitivity Analysis (QOSA). QOSA indices are relevant in order to quantify uncertainty on quantiles, for example in insurance operational risk contexts. We shall present several view points on conditional quantile estimation: quantile regression and improvements, Kernel based estimation, random forest estimation. We shall focus on applications to QOSA.

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Citation data

  • DOI 10.24350/CIRM.V.19680303
  • Cite this video Maume-Deschamps, Véronique (02/11/2020). On the estimation of conditional quantiles - lecture 2. CIRM. Audiovisual resource. DOI: 10.24350/CIRM.V.19680303
  • URL https://dx.doi.org/10.24350/CIRM.V.19680303

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Bibliography

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