Subject: Business, Economics And Management, Economics Keywords: electricity poverty; quantile regression
Online: 18 September 2020 (09:40:45 CEST)
The main objective of this article is to explore the causes of household electricity poverty in Spain from an innovative perspective. Based on evidence of energy inequality across households with different income levels, a quantile regression approach was used to better capture the heterogeneity of determinants of energy poverty across different levels of electricity expenditure. The results illustrate some interesting and counter-intuitive findings about the relationship between household income and electricity poverty, and the technical efficiency of quantile regression compared to the imprecise results of a standard single coefficient/OLS approach.
ARTICLE | doi:10.20944/preprints202304.0360.v1
Subject: Computer Science And Mathematics, Probability And Statistics Keywords: quantile regression; Spike-and-Slab prior; variational Bayesian; high-dimensional data
Online: 14 April 2023 (09:36:47 CEST)
Quantile regression model is widely used in variable relationship research of general size data, due to strong robustness and more comprehensive description of the response variables' characteristics. With the increase of data size and data dimension, there have been some studies on high-dimensional quantile regression under the classical statistical framework, including higher-efficient frequency perspective, which is however at cost of randomness quantification, or lower-efficient Bayesian method based on MCMC sampling. To overcome these problems, we propose the high-dimensional quantile regression with Spike-and-Slab Lasso penalty based on variational Bayesian (VBSSLQR), which can not only improve the computational efficiency but also measure the randomness via variational distributions. The simulation studies and real data analysis illustrate that the proposed VBSSLQR method is superior to or equivalent to other quantile and non-quantile regression methods (including Bayesian and non-Bayesian methods), and its efficiency is higher than any other method.
ARTICLE | doi:10.20944/preprints202305.0594.v1
Subject: Business, Economics And Management, Finance Keywords: Value at Risk; over-the-counter foreign exhange (OTC FX) options; quantile regression; Machine Learning (ML)
Online: 9 May 2023 (08:08:24 CEST)
In this study we propose a semi-parametric, parsimonious Value at Risk forecasting model, based on quantile regression and machine learning methods, combined with readily available market prices of option contracts from the over-the-counter foreign exchange rate interbank market. We aim at improving existing methods for VaR prediction of currency investments using machine learning. We employ two different methods - ensemble methods and neural networks. Explanatory variables are implied volatilities with plausible economic interpretation. The forward-looking nature of the model, achieved by the application of implied volatilities as risk factors, ensures that new information is rapidly reflected in Value at Risk estimates. To the best of our knowledge, this paper is the first to utilize information in the volatility surface, combined with machine learning and quantile regression, for VaR prediction of currency investments. The proposed ensemble models achieve good estimates across all quantiles. The light gra-dient-boosting machine model and the categorical boosting model both yield estimates which are better than, or equal to, those of the benchmark model. The neural network models are in general quite unstable.
ARTICLE | doi:10.20944/preprints201806.0198.v1
Subject: Computer Science And Mathematics, Probability And Statistics Keywords: quantile regression; quantile time series; demographics; mortality; longevity; modelling mortality projection
Online: 12 June 2018 (15:05:09 CEST)
This paper has three objectives, the first is to present a detailed overview in the form of a tutorial for the developments of several key quantile time series modelling approaches. The second objective is to develop a general framework to represent such quantile models in a unifying manner in order to easily develop extensions and connections between existing models that can then be developed to further extend these models in practice. In this regard, the core theme of the paper is to provide perspectives to a general audience of core components that go into construction of a quantile time series model and then to explore each of these core components in detail. The paper is not addressing the concerns of estimation of these models, as there is existing literature on these aspects in many settings, we provide references to relevant works on these aspects in several classes of model. Instead, the focus is rather to provide a unified framework to construct such models for practitioners, therefore the focus is instead on the properties of the models and links between such models from a constructive perspective. The third objective is to compare and discuss the application of the different quantile time series models on several sets of interesting demographic and mortality based time series data sets of relevance to life insurance analysis. The exploration included detailed mortality, fertility, births and morbidity data in several countries with more detailed analysis of regional data in England, Wales and Scotland.
ARTICLE | doi:10.20944/preprints202012.0321.v1
Subject: Environmental And Earth Sciences, Atmospheric Science And Meteorology Keywords: quantile regression; groundwater; environmental; multivariate; metals; health
Online: 14 December 2020 (10:13:09 CET)
One of the most important defining characteristics of groundwater quality is pH as it fundamentally controls the amount and chemical form of many organic and inorganic solutes in groundwater. Groundwater data are frequently characterized by a wide degree of variability of the factors which possibly influence pH distribution. For this reason, it is challenging to link the spatio-temporal dynamics of pH to a single environmental factor by the ordinary least squares regression technique of the conditional mean. In this study, quantile regression was used to estimate the response of pH to nine environmental factors (As, Cd, Fe, Mn, Pb, turbidity, electrical conductivity, total dissolved solids and nitrates). Results of 25%, 50%, 75% quantile regression and ordinary least squares (OLS) regression were compared. The standard regression of the conditional means (OLS) underestimated the rates of change of pH due to the selected factors in comparison with the regression quantiles. The effect of arsenic increased for sampling locations with higher pH values (higher quantiles) likewise the influence of Pb and Mn. However, the effects of Cd and Fe decreased for sampling locations in higher quantiles. It can be concluded that these detected heterogeneities would be missed if this study had focused exclusively on the conditional means of the pH values. Consequently, quantile regression provides a more comprehensive account of possible spatio-temporal relationships between environmental covariates in groundwater. This study is one of the first to apply this technique on groundwater systems in sub-Saharan Africa. The approach is useful and interesting and has broad application for other mining environments especially tropical low-income countries where climatic conditions can drive rapid cycling or transformations of pollutants. It is also pertinent to geopolitical contexts where regulatory; monitoring and management capacities are weak and where mining pollution of groundwater largely occur.
ARTICLE | doi:10.20944/preprints202009.0461.v1
Subject: Engineering, Energy And Fuel Technology Keywords: microgrid; energy-management-system; quantile-forecasts; smart-building
Online: 20 September 2020 (13:58:10 CEST)
The research work hereby presented, emerges from the urge to answer the well-known question of how the uncertainty of intermittent renewable sources affects the performance of a microgrid and how could we deal with it. More specifically, we want to evaluate what could be the impact in performance of a microgrid intended to serve a smart-building (powered by photovoltaic panels and with battery energy storage), when the uncertainty of the photovoltaic-production forecasts is considered in the energy management process. For this, several objectives (or services) are targeted based in a two-step (double-objective) energy management framework, that combines optimization-based and rule-based algorithms. The performance is evaluated based on some particular services proposed as performance indicators. Simulations are performed using data of a study-case microgrid (Drahi-Xnovation center, Ecole Polytechnique, France). The use of quantile forecasts (obtained with an analog-ensemble method) is tested as a mean to deal with (i.e. decrease) the uncertainty of the solar PV production. The proposed energy management framework is compared with basic reference strategies and the results show the superior performance of the former in almost all the services and forecasting scenarios proposed. The contrasting nature among some of the target services is one of the main conclusions of this work, as well as the different requirements in terms of forecasts when optimizing for different services and seasons of the year. This fact highlights the usefulness of the quantile forecasting approach, as a tool to deal with the intrinsic uncertainty of PV power production
ARTICLE | doi:10.20944/preprints202307.0383.v1
Subject: Environmental And Earth Sciences, Atmospheric Science And Meteorology Keywords: Linear-Moments; Monte Carlo Simulation; Quantile Estimates; Wind Speed
Online: 6 July 2023 (09:14:44 CEST)
The quantile estimation of extreme wind speed is needed in various environmental fields such as climatology, design of structures, renewable energy sources and agricultural operations. These calculations are crucial for the coding of wind speed. In this study, the required wind speed series of 16 stations in Khyber Pakhtunkhwa, Pakistan, was obtained from the NASA official website and measured in meters per second (m/s) at a 10-meter distance. A Regional Frequency Analysis of 16 AMWS stations was performed using L-moments. The quantile estimates of extreme wind speed are needed for various areas of interest using Regional Frequency Analysis (RFA) and extreme value theory. These calculations are crucial for the coding of wind speed. The data was taken from the NASA official website at a 10-meter distance and measured in meter per second (m/s). A Regional Frequency Analysis of AMWS using L-moments is performed utilizing wind speed data from sixteen sites (16) in Pakistan's Khyber Pakhtunkhwa province. There are no sites that are found to be discordant. The wards method is used to construct a homogenous region and make two homogenous regions from 16 sites. The heterogeneity test justifies that both clusters are homogeneous. The most appropriate probability distribution from the Generalized Normal (GNO), Generalized Logistic (GLO), Pearson Type-3 (P3), Generalized Pareto (GPA), and Generalized Extreme Value (GEV) distributions are chosen to calculate regional quantiles. According to the L-moments diagram and Z statistics, GEV for Cluster- Ι and GLO for Cluster- ΙΙ are the best suggestions from the others. Both clusters’ robustness is measured utilizing Relative Bias (RB) and Relative Root Mean Square Error (RRMSE). Overall, GEV distribution is fit for cluster-Ι, and the GLO distribution is fit for cluster-ΙΙ. Utilizing the site mean and median as index parameters, we can also find at-site quantiles from regional quantiles. The study’s quantile estimates can be employed in codified structural designs with policy consequences.
ARTICLE | doi:10.20944/preprints201612.0037.v1
Subject: Environmental And Earth Sciences, Environmental Science Keywords: climate change; evapotranspiration; IHACRES model; rainfall; runoff; quantile mapping
Online: 7 December 2016 (11:14:14 CET)
Climate simulations in West Africa have been attributed with large uncertainties. Global climate projections are not consistent with changes in observations at the regional or local level of the Niger basin, making management of hydrological projects in the basin uncertain. This study evaluates the potential of using the quantile mapping bias correction to improve the Coupled Model Intercomparison Project (CMIP5) outputs for use in hydrology impact studies. Rainfall and temperature projections from 8 CMIP5 Global Climate Models (GCM) were bias corrected using the quantile mapping approach. Impacts of climate change was evaluated with bias corrected rainfall, temperature and potential evapotranspiration (PET). The IHACRES hydrological model was adapted to the Niger basin and used to simulate impacts of climate change on discharge under present and future conditions. Bias correction significantly improved the accuracy of rainfall and temperature simulations compared to observations. Nash coefficient (NSE) for monthly rainfall comparisons of 8 GCMs to the observed was improved by bias correction from 0.69 to 0.84. The standard deviations among the 8 GCM rainfall data were significantly reduced from 0.13 to 0.03. Increasing rainfall, temperature, PET and river discharge were projected for all GCMs used in this study under the RCP8.5 scenario. These results will help improving projections and contribute to the development of sustainable climate change adaptation strategies.
ARTICLE | doi:10.20944/preprints201910.0162.v1
Subject: Business, Economics And Management, Economics Keywords: Xinchang Thai; quantile regression; functional classification of government expenditure; Xiao Kang
Online: 15 October 2019 (05:48:07 CEST)
On October 18, 2017, Chinese President Xi Jinping presented the blueprint for building a modernized socialist nation through the realization of the Xiao Kang (Every nation enjoys a peaceful and affluent life, it is meaningless to eliminate the poor) social construction at the 19th Congress of China. Subsequent to the 2008 financial crisis, the world has moved on to the new economic status of the New Normal. China has also entered the era of “Xinchang Thai,” which is moving from the high-growth to the moderate-growth phase. Therefore, the government of China emphasizes privatization, liberalization, and deregulation. China is also influenced by government policies due to the nature of socialism. This study confirms China’s current stage of economic development based on Barro’s theory. Thus, we use a quantile regression model and examine the correlation between economic growth and functional classification of government expenditure during Xi Jinping's term of office. Furthermore, we selected Korea as a comparative country as the two countries have common features.
ARTICLE | doi:10.20944/preprints202308.1592.v1
Subject: Environmental And Earth Sciences, Sustainable Science And Technology Keywords: digital economy; industrial carbon emission efficiency; spatio-temporal patterns; panel quantile regression
Online: 23 August 2023 (03:26:40 CEST)
In the pursuit of China’s dual carbon goals, identifying spatio-temporal changes in industrial carbon emission efficiency and their influencing factors in cities at different stages of development is the key to effective formulation of countermeasures to promote the low-carbon transformation of Chinese national industry and achieve high-quality economic development. In this study, we used balanced panel data of 270 Chinese cities from 2005 to 2020 as a research object: (1) to show spatio-temporal evolution patterns in urban industrial carbon emission efficiency; (2) to analyze the aggregation characteristics of industrial carbon emission efficiency in Chinese cities using Global Moran's I statistics; and (3) to use the hierarchical regression model for panel data to assess the non-linear impact of the digital economy on the industrial carbon emission efficiency of cities. The results show the following: (1) the industrial carbon emission efficiency of Chinese cities exhibited an upward trend from 2005 to 2020, with a spatial distribution pattern of high in the south and low in the north; (2) China's urban industrial carbon emission efficiency is characterized by significant spatial autocorrelation, with increasing and stabilizing correlation, and a relatively fixed pattern of spatial agglomeration; (3) there is a significant inverted-U-shaped relationship between the digital economy and the industrial carbon emission efficiency of cities. The digital economy increases carbon emissions and inhibits industrial carbon-emission efficiency in the early stages of development, but inhibits carbon emissions and promotes industrial carbon emission efficiency in mature developmental stages. Therefore, cities at all levels should reduce pollution and carbon emissions from high-energy-consuming and high-polluting enterprises, gradually reduce carbon-intensive industries, and accelerate the digital transformation and upgrading of enterprises. Western, central and eastern regions especially should seek to promote the sharing of innovation resources, strengthen exchanges and interactions relating to scientific and technological innovation, and jointly explore coordinated development routes for the digital economy.
ARTICLE | doi:10.20944/preprints202305.1929.v1
Subject: Business, Economics And Management, Economics Keywords: digital inclusive finance; imbalance and insufficiency; weighted Dagum Gini coefficient; quantile standardization
Online: 26 May 2023 (11:11:26 CEST)
In the paper, we measure the digital financial inclusion index of 31 provinces in China from 2011 to 2020 based on three dimensions: coverage breadth, depth of use and digitalization degree. By means of weighted Dagum Gini coefficient and quantile standardization, we explored the degree of imbalance and insufficiency of the development of digital inclusive finance in China and four major regions and its structural causes. Using Kernel density estimation method and Markov chain analysis method, we further investigates the evolution trend of imbalance and insufficiency. The study finds that (1) the Digital Inclusive Financial Index in China and the four major regions rise significantly, with the COVID-19 epidemic reducing its growth rate. Of these, the eastern region has the highest development level. (2) The imbalance level of digital inclusive finance development obviously has reduced. The level of imbalance is highest within the eastern region, and the development gap between the eastern and western regions is the widest. The imbalance of overall development is mainly due to the regional imbalance. The imbalance of coverage breadth and depth of use is the main structural cause of unbalanced development in the four major regions. There is a trend of bipolarization or multipolarization in China and the other three major regions, with the exception of the central region. (3) The western region is the least developed. The development shortcoming of digital inclusive finance in China and the four major regions is the breadth of coverage. There are "Club Convergence" and "Matthew Effect" in the eastern, central and western regions.
ARTICLE | doi:10.20944/preprints202205.0235.v1
Subject: Business, Economics And Management, Economics Keywords: Bitcoin; economic policy uncertainty; spillover; wavelet coherence analysis; quantile cross-spectral dependence
Online: 18 May 2022 (03:15:25 CEST)
In this study, the dependence between Bitcoin (BTC) and economic policy uncertainty (EPU) of USA and China is estimated by applying latest methodology of quantile cross-spectral dependence. The findings indicate a positive return interdependence between BTC and EPU is high in short-term, and this dependence decreases as investment horizons increase from weekly to yearly. The information on above interdependence is also extracted by applying wavelet coherence analysis and the estimation results suggest that correlation between BTC and EPU is positive during short-term investment horizon. Furthermore, more diversification benefits of BTC can be obtained during USA-EPU as compared to China-EPU.
ARTICLE | doi:10.20944/preprints201901.0164.v1
Subject: Engineering, Control And Systems Engineering Keywords: Principle of maximum entropy; quantile estimation; confidence interval; Monte Carlo simulation; precipitation frequency analysis
Online: 16 January 2019 (10:11:03 CET)
Confidence interval of is an interval corresponding to a specified confidence and including the true value. It can be used to describe the precision of a statistical quantity and quantify its uncertainty. Although the principle of maximum entropy (POME) has been used for a variety of applications in hydrology, the confidence intervals of the POME quantile estimators have not been available. In this study, the calculation formulas of asymptotic variances and confidence intervals of quantiles based on POME for Gamma, Pearson type 3 (P3) and Extreme value type 1 (EV1) distributions were derived. Monte Carlo Simulation experiments were performed to evaluate the performance of derived formulas for finite samples. Using four data sets for annual precipitation at the Weihe River basin in China, the derived formulas were applied for calculating the variances and confidence intervals of precipitation quantiles for different return periods and the results were compared with those of the methods of moments (MOM) and of maximum likelihood (ML) method. It is shown that POME yields the smallest standard errors and the narrowest confidence intervals of quantile estimators among the three methods, and can reduce the uncertainty of quantile estimators
ARTICLE | doi:10.20944/preprints202001.0119.v1
Subject: Environmental And Earth Sciences, Atmospheric Science And Meteorology Keywords: Quantile Mapping Bias Correction (QMBC); Regional Climate Models (RCMs); Rossby Centre Regional Climate Models (RCA4); Drought; Flood; Kenya
Online: 12 January 2020 (14:18:56 CET)
Accurate assessment and projections of extreme climate events requires the use of climate datasets with no or minimal error. This study uses quantile mapping bias correction (QMBC) method to correct the bias of five Regional Climate Models (RCMs) from the latest output of Rossby Climate Model Center (RCA4) over Kenya, East Africa. The outputs were validated using various scalar metrics such as Root Mean Square Difference (RMSD), Mean Absolute Error (MAE) and mean Bias. The study found that the QMBC algorithm demonstrate varying performance among the models in the study domain. The results show that most of the models exhibit significant improvement after corrections at seasonal and annual timescales. Specifically, the European community Earth-System (EC-EARTH) and Commonwealth Scientific and Industrial Research Organization (CSIRO) models depict exemplary improvement as compared to other models. On the contrary, the Institute Pierre Simon Laplace Model CM5A-MR (IPSL-CM5A-MR) model show little improvement across various timescales (i.e. March-April-May (MAM) and October-November-December (OND)). The projections forced with bias corrected historical simulations tallied observed values demonstrate satisfactory simulations as compared to the uncorrected RCMs output models. This study has demonstrated that using QMBC on outputs from RCA4 is an important intermediate step to improve climate data prior to performing any regional impact analysis. The corrected models can be used for projections of drought and flood extreme events over the study area. This study analysis is crucial from the sustainable planning for adaptation and mitigation of climate change and disaster risk reduction perspective.
ARTICLE | doi:10.20944/preprints201808.0356.v1
Subject: Computer Science And Mathematics, Probability And Statistics Keywords: Bayesian, Beta Kumaraswamy-G, Burr Type X, Kumaraswamy-G, quantile function, maximum likelihood estimation, inverse CDF method of simulation.
Online: 20 August 2018 (12:45:31 CEST)
We proposed a so-called Beta Kumaraswamy Burr Type X distribution which gives the extension of the Kumaraswamy-G class of family distribution. Some properties of this proposed model were provided, like: the expansion of densi- ties and quantile function. We considered the Bayes and maximum likelihood methods to estimate the parameters and also simulate the model parameters to validate the methods based on dierent set of true values. Some real data sets were employed to show the usefulness and exibility of the model which serves as generalization to many sub-models in the elds of engineering, medical, survival and reliability analysis.
ARTICLE | doi:10.20944/preprints201808.0304.v1
Subject: Computer Science And Mathematics, Probability And Statistics Keywords: bayesian; beta Kumaraswamy-G; burr type X; Kumaraswamy-G; quantile function; maximum likelihood estimation; inverse CDF method of simulation
Online: 17 August 2018 (12:09:05 CEST)
We proposed a so-called Beta Kumaraswamy Burr Type X distribution which gives the extension of the Kumaraswamy-G class of family distribution. Some properties of this proposed model were provided, like: the expansion of densities and quantile function. We considered the Bayes and maximum likelihood methods to estimate the parameters and also simulate the model parameters to validate the methods based on different set of true values. Some real data sets were employed to show the usefulness and flexibility of the model which serves as generalization to many sub-models in the field of engineering, medical, survival and reliability analysis.