Non‐parametric inference on (conditional) quantile differences and interquantile ranges, using L‐statistics

2018 ◽  
Vol 21 (2) ◽  
pp. 136-169
Author(s):  
Matt Goldman ◽  
David M. Kaplan
Keyword(s):  
Parametric Inference ◽  
Conditional Quantile ◽  
Non Parametric

scholarly journals Penalized Averaging of Parametric and Non-Parametric Quantile Forecasts

2019 ◽  
Vol 0 (0) ◽  
Author(s):  
Jan G. De Gooijer ◽  
Dawit Zerom
Keyword(s):  
Risk Premium ◽  
Empirical Studies ◽  
Forecast Accuracy ◽  
Equity Premium ◽  
Adaptive Lasso ◽  
Large Set ◽  
Usual Practice ◽  
Conditional Quantile ◽  
Equity Risk ◽  
Non Parametric

Abstract We propose a hybrid penalized averaging for combining parametric and non-parametric quantile forecasts when faced with a large number of predictors. This approach goes beyond the usual practice of combining conditional mean forecasts from parametric time series models with only a few predictors. The hybrid methodology adopts the adaptive LASSO regularization to simultaneously reduce predictor dimension and obtain quantile forecasts. Several recent empirical studies have considered a large set of macroeconomic predictors and technical indicators with the goal of forecasting the S&P 500 equity risk premium. To illustrate the merit of the proposed approach, we extend the mean-based equity premium forecasting into the conditional quantile context. The application offers three main findings. First, combining parametric and non-parametric approaches adds quantile forecast accuracy over and above the constituent methods. Second, a handful of macroeconomic predictors are found to have systematic forecasting power. Third, different predictors are identified as important when considering lower, central and upper quantiles of the equity premium distribution.

Non-parametric inference of adverse events under informative censoring

2006 ◽  
Vol 25 (23) ◽  
pp. 3981-4003 ◽  
Author(s):  
Masako Nishikawa ◽  
Toshiro Tango ◽  
Makiko Ogawa
Keyword(s):  
Adverse Events ◽  
Informative Censoring ◽  
Parametric Inference ◽  
Non Parametric
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