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Quality of fit measurement in regression quantiles: An elemental set method approach

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  • Ranganai, Edmore

Abstract

Little attention has been paid to assess the quality of fit in the quantile regression framework (Noh et al., 2013). As a contribution, I propose a coefficient of determination measure and model selection indices based on the elemental set method.

Suggested Citation

  • Ranganai, Edmore, 2016. "Quality of fit measurement in regression quantiles: An elemental set method approach," Statistics & Probability Letters, Elsevier, vol. 111(C), pages 18-25.
    • Handle: RePEc:eee:stapro:v:111:y:2016:i:c:p:18-25
    DOI: 10.1016/j.spl.2015.12.018
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    References listed on IDEAS

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    1. Edmore Ranganai & Johan O. Van Vuuren & Tertius De Wet, 2014. "Multiple Case High Leverage Diagnosis in Regression Quantiles," Communications in Statistics - Theory and Methods, Taylor & Francis Journals, vol. 43(16), pages 3343-3370, August.
    2. Hohsuk Noh & Anouar El Ghouch & Ingrid Van Keilegom, 2013. "Quality of Fit Measures in the Framework of Quantile Regression," Scandinavian Journal of Statistics, Danish Society for Theoretical Statistics;Finnish Statistical Society;Norwegian Statistical Association;Swedish Statistical Association, vol. 40(1), pages 105-118, March.
    3. Koenker, Roger W & Bassett, Gilbert, Jr, 1978. "Regression Quantiles," Econometrica, Econometric Society, vol. 46(1), pages 33-50, January.
    4. McKean, Joseph W. & Sievers, Gerald L., 1987. "Coefficients of determination for least absolute deviation analysis," Statistics & Probability Letters, Elsevier, vol. 5(1), pages 49-54, January.
    5. Noh, Hohsuk & El Ghouch, Anouar & Van Keilegom, Ingrid, 2013. "Quality of fit measures in the framework of quantile regression," LIDAM Reprints ISBA 2013010, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
    6. Hawkins, Douglas M. & Olive, David J., 1999. "Improved feasible solution algorithms for high breakdown estimation," Computational Statistics & Data Analysis, Elsevier, vol. 30(1), pages 1-11, March.
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    Cited by:

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