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Clusters of effects curves in quantile regression models

Author

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  • Gianluca Sottile

    (University of Palermo)

  • Giada Adelfio

    (University of Palermo
    Istituto Nazionale di Geofisica e Vulcanologia)

Abstract

In this paper, we propose a new method for finding similarity of effects based on quantile regression models. Clustering of effects curves (CEC) techniques are applied to quantile regression coefficients, which are one-to-one functions of the order of the quantile. We adopt the quantile regression coefficients modeling (QRCM) framework to describe the functional form of the coefficient functions by means of parametric models. The proposed method can be utilized to cluster the effect of covariates with a univariate response variable, or to cluster a multivariate outcome. We report simulation results, comparing our approach with the existing techniques. The idea of combining CEC with QRCM permits simplifying computation and interpretation of the results, and may improve the ability to identify clusters. We illustrate a variety of applications, highlighting the advantages and the usefulness of the described method.

Suggested Citation

  • Gianluca Sottile & Giada Adelfio, 2019. "Clusters of effects curves in quantile regression models," Computational Statistics, Springer, vol. 34(2), pages 551-569, June.
    • Handle: RePEc:spr:compst:v:34:y:2019:i:2:d:10.1007_s00180-018-0817-8
    DOI: 10.1007/s00180-018-0817-8
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    References listed on IDEAS

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    Cited by:

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    3. Victor Muthama Musau & Carlo Gaetan & Paolo Girardi, 2022. "Clustering of bivariate satellite time series: A quantile approach," Environmetrics, John Wiley & Sons, Ltd., vol. 33(7), November.

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