Posts Tagged ‘ quantile ’

Short versus long papers, in academic journals

April 24, 2012
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Short versus long papers, in academic journals

This Monday, during my talk on quantile regressions (at the Montreal R-meeting), we've seen how those nice graphs could be interpreted, with the evolution of the slope of the linear regression, as a function of the probability level. One illustrati...

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Talk on quantiles at the R Montreal group

April 23, 2012
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Talk on quantiles at the R Montreal group

This afternoon, I will be giving a two-hour talk at McGill on quantiles, quantile regressions, confidence regions, bagplots and outliers. Before defining (properly) quantile regressions, we will mention regression on (local) quantiles, as on the gr...

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MAT8886 exchangeability, credit risk and risk measures

February 10, 2012
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MAT8886 exchangeability, credit risk and risk measures

Exchangeability is an extremely concept, since (most of the time) analytical expressions can be derived. But it can also be used to observe some unexpected behaviors, that we will discuss later on with a more general setting. For instance, in a old...

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Playing with quantiles, part 2

March 8, 2011
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Playing with quantiles, part 2

It is common to look at best time at the Marathon. Or perhaps the distribution of the top100, as done by John Myles White on his blog here (data can be found there), as the graph below, with the density of the time for the first 100 men (in blue) a...

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Playing with quantiles, part 1

March 8, 2011
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Playing with quantiles, part 1

A standard idea in extreme value theory (see e.g. here, in French unfortunately) is that to estimate the 99.5% quantile (say), we just need to estimate a quantile of level 95% for observations exceeding the 90% quantile. In extreme value theory,...

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