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)
ePrint ID: 14071
Date :
Date Event
25 January 2005Published
Date Deposited: 26 Jan 2005
Last Modified: 16 Apr 2017 23:47
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