Quantiles and expectiles analyze the regression model not only at the mean but also in the tails. Financial losses, medical insurance, auction bids, insurance claims and toxicity limits are all areas ...

Computing Quantiles 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 ...

We estimate conditional and unconditional high quantiles for daily electricity spot prices based on a linear model with stable innovations. This approach captures the impressive peaks in such data and ...