[Ml-stat-talks] [stat seminar reminder]: Friday 1:00pm by Weining Wang

xtong at princeton.edu xtong at princeton.edu
Thu Feb 24 23:14:00 EST 2011


 Hi All,

 The stat seminar on Friday Feb 25th will be given by Weining Wang from
Berlin. Note that it will start at 1:00pm instead of the usual 12:30pm.  

 Title: Local Quantile Regression

 Abstract:

 Conditional quantile curves provide a comprehensive picture of a response
contingent on explanatory variables. Quantile regression is a technique to
estimate such curves. In a fexible modeling framework, a specific form of
the quantile is not a priori fixed. Indeed, the majority of applications
do not per se require specific functional forms. This motivates a local
parametric rather than a global fixed model tting approach. A
nonparametric smoothing estimate of the conditional quantile curve
requires to consider a balance between local curvature and variance. In
this paper, we analyze a method based on a local model selection technique
that provides
 an adaptive estimate. Theoretical properties on mimicking the oracle
choice
 are offered and applications to stock market and weather analysis are
presented.

 Best,

 Xin Tong
 ORFE 
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