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Time-adaptive quantile regression

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  • Moller, Jan Kloppenborg
  • Nielsen, Henrik Aalborg
  • Madsen, Henrik
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    File URL: http://www.sciencedirect.com/science/article/B6V8V-4P777Y9-1/2/60f86566ca414e0897fa67dd664a65dd
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    Bibliographic Info

    Article provided by Elsevier in its journal Computational Statistics & Data Analysis.

    Volume (Year): 52 (2008)
    Issue (Month): 3 (January)
    Pages: 1292-1303

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    Handle: RePEc:eee:csdana:v:52:y:2008:i:3:p:1292-1303

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    Web page: http://www.elsevier.com/locate/csda

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    References

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    1. Koenker, Roger W & Bassett, Gilbert, Jr, 1978. "Regression Quantiles," Econometrica, Econometric Society, vol. 46(1), pages 33-50, January.
    2. Koenker,Roger, 2005. "Quantile Regression," Cambridge Books, Cambridge University Press, number 9780521608275, December.
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    Cited by:
    1. Jónsson, Tryggvi & Pinson, Pierre & Madsen, Henrik, 2010. "On the market impact of wind energy forecasts," Energy Economics, Elsevier, vol. 32(2), pages 313-320, March.
    2. Miguel Ángel Bermejo & Daniel Peña & Ismael Sánchez, 2011. "Densidad de predicción basada en momentos condicionados y máxima entropía : aplicación a la predicción de potencia eólica," Statistics and Econometrics Working Papers ws111813, Universidad Carlos III, Departamento de Estadística y Econometría.
    3. Samantha Leorato & Franco Peracchi & Andrei V. Tanase, 2010. "Asymptotically Efficient Estimation of the Conditional Expected Shortfall," EIEF Working Papers Series 1013, Einaudi Institute for Economics and Finance (EIEF), revised Dec 2010.
    4. Caporin, Massimiliano & Preś, Juliusz, 2012. "Modelling and forecasting wind speed intensity for weather risk management," Computational Statistics & Data Analysis, Elsevier, vol. 56(11), pages 3459-3476.

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