- Quantile regression
Quantile regression is a type of
regression analysis used in statistics. Whereas themethod of least squares results in estimates that approximate the conditional "mean" of the response variable given certain values of the predictor variables, quantile regression results in estimates approximating either themedian or otherquantiles of the response variable.Advantages and applications
Quantile regression is used when an estimate of the various quantiles (such as the median) of a population is desired. One advantage of using quantile regression to estimate the median, rather than ordinary least squares regression to estimate the mean, is that quantile regression will be more robust in response to large outliers. Quantile regression can be seen as a natural analogue in regression analysis to the practice of using different measures of
central tendency andstatistical dispersion to obtain a more comprehensive androbust analysis. [Roger Koenker, "Quantile Regression", Cambridge University Press (May 9, 2005)] Another advantage to quantile regression is the fact that any quantile can be estimated.In
ecology , quantile regression has been proposed and used as a way to discover more useful predictive relationships between variables in cases where there is no relationship or only a weak relationship between the means of such variables. The need for and success of quantile regression in ecology has been attributed to thecomplexity of interactions between different factors leading todata with unequal variation of one variable for different ranges of another variable. [ [http://www.econ.uiuc.edu/~roger/research/rq/QReco.pdf] Brian S. Cade, Barry R. Noon, "A gentle introduction to quantile regression for ecologists", "Frontiers in Ecology and the Environment", Vol. 1, No. 8, (2003) pp. 412–420.]Mathematics
The mathematical forms arising from quantile regression are distinctly different from those arising in the
method of least squares . The method of least squares leads to a consideration of problems in aninner product space , involvingprojection onto subspaces, and thus the problem of minimizing the squared errors can be reduced to a problem innumerical linear algebra . Quantile regression does not have this structure, and instead leads to problems inlinear programming that can be solved by thesimplex method . The fact that the algorithms of linear programming appear more esoteric to users may explain why quantile regression is not as widely used as the method of least squares. [ [http://www.econ.uiuc.edu/~roger/research/rq/QRJEP.pdf] Roger Koenker, Kevin F. Hallock, "Quantile Regression", "Journal of Economic Perspectives", Vol. 15, No. 4 (Fall 2001), pp. 143–156] .Implementations
Some statistics packages, such as
Stata ,gretl and R, include implementations of quantile regression.References
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