PROC STDIZE offers two methods for computing quantiles: the one-pass approach and the order-statistics approach (like that used in the UNIVARIATE procedure). The one-pass approach used in PROC STDIZE ...

The estimation of extreme conditional quantiles is an important issue in numerous disciplines. Quantile regression (QR) provides a natural way to capture the covariate effects at different tails of ...

One of the more difficult challenges for modeling is deciding how (or if) to deal with extreme data points. It’s a common problem in economic and financial numbers. Fat tailed distributions are ...

We consider the problem of estimating the quantiles of a one-parameter exponential distribution. Using the estimated quantiles to predict the distribution function, and attempting to minimize mean ...

Operational risk reserves are still widely estimated using the loss distribution approach. The accuracy of the estimation depends heavily on the accuracy with which the extreme quantiles of the ...