Conditional Ordering Using Nonparametric Expectiles

Aragon, Yves, Casanova, Sandrine, Chambers, Ray and Leconte, Eve (2005) Conditional Ordering Using Nonparametric Expectiles. Southampton, UK, Southampton Statistical Sciences Research Institute, 23pp. (S3RI Methodology Working Papers, M05/01).


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Expectile regression, and more generally $M$-quantile regression, can be used to characterise the relationship between a response variable and explanatory variables when the behaviour of "non-average" individuals is of interest. The aim of this paper is to demonstrate how an individual's expectile-order, based on nonparametric estimation of the expectile regression function, can also be used to define a conditional ordering of the individual's value relative to the values of other members of a data set. The relationship between contextual, or "grouping", variables and this ordering can then be investigated. In particular, we propose five estimators of expectile-order, which we compare via simulation. The use of estimated expectile-order to investigate grouping effects is then illustrated using data on physician prescribing behaviour in the Midi-Pyrenees region of France during 1999.

Item Type: Monograph (Working Paper)
Subjects: H Social Sciences > HA Statistics
Divisions : University Structure - Pre August 2011 > Southampton Statistical Sciences Research Institute
ePrint ID: 14071
Accepted Date and Publication Date:
25 January 2005Made publicly available
Date Deposited: 26 Jan 2005
Last Modified: 31 Mar 2016 11:26

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