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On the estimation of conditional quantiles - lecture 3

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Virtualconference
Authors : Maume-Deschamps, Véronique (Author of the conference)
CIRM (Publisher )

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Abstract : 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.

Keywords : sensitivity analysis; uncertainty avantification

MSC Codes :
62-07 - Data analysis
62G20 - Nonparametric asymptotic efficiency

Information on the Event

Event Title : Jean-Morlet Chair 2020 - Research School: Quasi-Monte Carlo Methods and Applications / Chaire Jean-Morlet 2020 - Ecole: Méthode de quasi-Monte-Carlo et applications
Event Organizers : Rivat, Joël ; Thonhauser, Stefan ; Tichy, Robert
Dates : 02/11/2020 - 07/11/2020
Event Year : 2020
Event URL : https://www.chairejeanmorlet.com/2255.html

Citation Data

DOI : 10.24350/CIRM.V.19680503
Cite this video as: Maume-Deschamps, Véronique (2020). On the estimation of conditional quantiles - lecture 3. CIRM. Audiovisual resource. doi:10.24350/CIRM.V.19680503
URI : http://dx.doi.org/10.24350/CIRM.V.19680503

See Also

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