On the estimation of conditional quantiles - lecture 1 | Vidéo | Carmin.tv

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On the estimation of conditional quantiles - lecture 1

De Véronique Maume-Deschamps

Apparaît dans la 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

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.

Informations sur la vidéo

Date de captation 02/11/2020
Date de publication 02/11/2020
Institut CIRM
Licence CC BY NC ND
Langue Anglais
Audience Chercheurs
Réalisateur(s) Guillaume Hennenfent
Format MP4

Données de citation

DOI 10.24350/CIRM.V.19664503
Citer cette vidéo Maume-Deschamps, Véronique (02/11/2020). On the estimation of conditional quantiles - lecture 1. CIRM. Audiovisual resource. DOI: 10.24350/CIRM.V.19664503
URL https://dx.doi.org/10.24350/CIRM.V.19664503

Domaine(s)

Statistiques - Théorie

Bibliographie

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