Type:	Package
Title:	Utilities for Quantiles
Version:	1.5.9
Date:	2023-10-28
Maintainer:	Marco Geraci <marco.geraci@uniroma1.it>
Depends:	R (≥ 3.5.0)
Imports:	boot, conquer, glmx, graphics, grDevices, gtools, MASS, Matrix, np, numDeriv (≥ 2016.8-1), quantdr, quantreg, Rcpp (≥ 0.12.13), stats, utils
LinkingTo:	Rcpp, RcppArmadillo
Suggests:	knitr, mice, rmarkdown, survey
VignetteBuilder:	knitr
Description:	Functions for unconditional and conditional quantiles. These include methods for transformation-based quantile regression, quantile-based measures of location, scale and shape, methods for quantiles of discrete variables, quantile-based multiple imputation, restricted quantile regression, directional quantile classification, and quantile ratio regression. A vignette is given in Geraci (2016, The R Journal) <doi:10.32614/RJ-2016-037> and included in the package.
License:	GPL-2 | GPL-3 [expanded from: GPL (≥ 2)]
LazyLoad:	yes
NeedsCompilation:	yes
Packaged:	2023-10-28 13:08:20 UTC; marco
Author:	Marco Geraci [aut, cph, cre], Alessio Farcomeni [ctb] (Contributions to midrq and qrr code), Cinzia Viroli [ctb] (Contributions to dqc code)
Repository:	CRAN
Date/Publication:	2023-10-28 15:10:02 UTC

Utilities for Quantilies

Description

The package Qtools provides functions for unconditional and conditional quantiles. These include methods for transformation-based quantile regression, quantile-based measures of location, scale and shape, methods for quantiles of discrete variables, quantile-based multiple imputation, restricted quantile regression, and directional quantile classification.

Details

Author(s)

Marco Geraci

Maintainer: Marco Geraci <marco.geraci@uniroma1.it>

A-level Chemistry Scores

Description

The Chemistry data frame has 31022 rows and 7 columns of the A-level scores in Chemistry for England and Wales students, 1997.

Format

This data frame contains the following columns:

lea

school district ID.

school

school ID.

id

subject ID.

score

a numeric vector of A-level scores in Chemistry.

sex

a factor with levels male and female

age

a numeric vector of ages of the subjects (months).

gcse

a numeric vector of average GCSE scores.

Source

Fielding, A., Yang, M., and Goldstein, H. (2003) “Multilevel ordinal models for examination grades”. Statistical Modelling, 3, 127–53.

Goodness-of-Fit Tests for Quantile Regression Models

Description

This function calculates a goodness-of-fit test for quantile regression models.

Usage

GOFTest(object, type = "cusum", alpha = 0.05, B = 100, seed = NULL)

Arguments

Details

This function provides goodness-of-fit tests for quantile regression. Currently, there is only one method available (type = "cusum"), for a test based on the cusum process of the gradient vector (He and Zhu, 2013). The critical value at level alpha is obtained by resampling. Other methods will be implemented in future versions of the package.

Value

GOFTest returns an object of class GOFtest.

Author(s)

Marco Geraci

References

He XM, Zhu LX. A lack-of-fit test for quantile regression. Journal of the American Statistical Association (2003);98:1013-1022.

Examples

## Not run: 
data(barro, package = "quantreg")
fit <- quantreg::rq(y.net ~ lgdp2 + fse2 + gedy2 + Iy2 + gcony2, data = barro, tau = c(.1,.5,.9))
GOFTest(fit)

## End(Not run)

Khmaladze Test

Description

This function provides significance levels of the Khmaladze Test using a (hard-coded) table of asymptotic critical values.

Usage

KhmaladzeFormat(object, epsilon)

Arguments

Details

This function is applied to an object produced by KhmaladzeTest. The Khmaladze test is used to test for location–shift and location-scale–shift hypotheses (Koenker, 2005). The test statistic is computed over the interval [epsilon, 1 - epsilon], where epsilon is the trimming value.

Author(s)

Marco Geraci

References

Appendix B in Koenker R. Quantile regression. New York, NY: Cambridge University Press; 2005.

Koenker R. and Xiao Z. Inference on the quantile regression process. Avalilable at http://www.econ.uiuc.edu/~roger/research/inference/khmal6ap.pdf.

Examples

data(barro, package = "quantreg")
eps <- 0.05
kt <- quantreg::KhmaladzeTest( y.net ~ lgdp2 + fse2 + gedy2 + Iy2 + gcony2, 
		data = barro, taus = seq(.05,.95,by = .01), trim = c(eps, 1 - eps))
class(kt)
KhmaladzeFormat(kt, epsilon = eps)

Growth curve data on an orthdontic measurement

Description

The Orthodont data frame has 108 rows and 4 columns of the change in an orthdontic measurement over time for several young subjects.

Format

This data frame contains the following columns:

distance

a numeric vector of distances from the pituitary to the pterygomaxillary fissure (mm). These distances are measured on x-ray images of the skull.

age

a numeric vector of ages of the subject (yr).

Subject

an ordered factor indicating the subject on which the measurement was made. The levels are labelled M01 to M16 for the males and F01 to F13 for the females. The ordering is by increasing average distance within sex.

Sex

a factor with levels Male and Female

Details

Investigators at the University of North Carolina Dental School followed the growth of 27 children (16 males, 11 females) from age 8 until age 14. Every two years they measured the distance between the pituitary and the pterygomaxillary fissure, two points that are easily identified on x-ray exposures of the side of the head.

Source

Pinheiro, J. C. and Bates, D. M. (2000), Mixed-Effects Models in S and S-PLUS, Springer, New York. (Appendix A.17)

Potthoff, R. F. and Roy, S. N. (1964), “A generalized multivariate analysis of variance model useful especially for growth curve problems”, Biometrika, 51, 313–326.

Jose Pinheiro, Douglas Bates, Saikat DebRoy, Deepayan Sarkar and the R Development Core Team (2011). nlme: Linear and Nonlinear Mixed Effects Models. R package version 3.1-100.

Internal Qtools objects

Description

Internal Qtools objects.

Details

These are not to be called by the user.

Transformations

Description

Functions used in quantile regression transformation models

Usage

ao(theta, lambda, symm = TRUE, omega = 0.001)
invao(x, lambda, symm = TRUE, replace = TRUE)
bc(x, lambda)
invbc(x, lambda, replace = TRUE)
mcjI(x, lambda, symm = TRUE, dbounded = FALSE, omega = 0.001)
invmcjI(x, lambda, symm = TRUE, dbounded = FALSE)
mcjII(x, lambda, delta, dbounded = FALSE, omega = 0.001)
invmcjII(x, lambda, delta, dbounded = FALSE)

Arguments

Details

These functions transform (back-transform) x or theta conditional on the parameters lambda and theta, using the Box–Cox (bc), Aranda-Ordaz (ao), Proposal I (mcjI) and Proposal II (mcjII) transformations.

Value

Transformed or back-transformed values.

Author(s)

Marco Geraci

References

Aranda-Ordaz FJ. On two families of transformations to additivity for binary response data. Biometrika 1981;68(2):357-363.

Box GEP, Cox DR. An analysis of transformations. Journal of the Royal Statistical Society Series B-Statistical Methodology 1964;26(2):211-252.

Dehbi H-M, Cortina-Borja M, and Geraci M. Aranda-Ordaz quantile regression for student performance assessment. Journal of Applied Statistics. 2016;43(1):58-71.

Geraci M and Jones MC. Improved transformation-based quantile regression. Canadian Journal of Statistics 2015;43(1):118-132.

Jones MC. Connecting distributions with power tails on the real line, the half line and the interval. International Statistical Review 2007;75(1):58-69.

See Also

tsrq, tsrq2, rcrq, nlrq2

Mid-distribution Functions

Description

Compute conditional mid-cumulative probabilities

Usage

cmidecdf(formula, data, ecdf_est = "npc", npc_args = list(),
	theta = NULL, subset, weights, na.action,
	contrasts = NULL)
cmidecdf.fit(x, y, intercept, ecdf_est, npc_args = list(),
	theta = NULL)

Arguments

Value

An object of class class cmidecdf with mid-cumulative probabilities. This is a list that contains:

Author(s)

Marco Geraci with contributions from Alessio Farcomeni

References

Geraci, M. and A. Farcomeni. Mid-quantile regression for discrete responses. arXiv:1907.01945 [stat.ME]. URL: https://arxiv.org/abs/1907.01945.

Li, Q. and J. S. Racine (2008). Nonparametric estimation of conditional cdf and quantile functions with mixed categorical and continuous data. Journal of Business and Economic Statistics 26(4), 423-434.

Peracchi, F. (2002). On estimating conditional quantiles and distribution functions. Computational Statistics and Data Analysis 38(4), 433-447.

See Also

midecdf

Examples

## Not run: 
n <- 100
x <- rnorm(n, 0, 3)
y <- floor(1 + 2*x) + sample(1:5, n, replace = TRUE)
cmidecdf(y ~ x, ecdf_est = "logit")

## End(Not run)

Extract Coefficients

Description

coef extracts model coefficients from midrq objects.

Usage

## S3 method for class 'midrq'
coef(object, ...)
## S3 method for class 'midrq'
coefficients(object, ...)

Arguments

Value

a vector for single quantiles or a matrix for multiple quantiles.

Author(s)

Marco Geraci

See Also

midrq

Extract Coefficients

Description

coef extracts model coefficients from qrr objects.

Usage

## S3 method for class 'qrr'
coef(object, ...)
## S3 method for class 'qrr'
coefficients(object, ...)

Arguments

Value

a vector of estimated coefficients.

Author(s)

Marco Geraci

See Also

qrr

Extract Coefficients

Description

coef extracts model coefficients from rq.counts objects.

Usage

## S3 method for class 'rq.counts'
coef(object, ...)
## S3 method for class 'rq.counts'
coefficients(object, ...)

Arguments

Value

a vector for single quantiles or a matrix for multiple quantiles.

Author(s)

Marco Geraci

See Also

rq.counts

Extract Coefficients

Description

coef extracts model coefficients from rqt objects.

Usage

## S3 method for class 'rqt'
coef(object, all = FALSE, ...)
## S3 method for class 'rqt'
coefficients(object, all = FALSE, ...)

Arguments

Value

a vector for single quantiles or a matrix for multiple quantiles.

Author(s)

Marco Geraci

See Also

tsrq

Mid-distribution Functions

Description

Compute mid-quantiles confidence intervals

Usage

## S3 method for class 'midquantile'
confint(object, parm = NULL, level = 0.95, ...)

Arguments

Author(s)

Marco Geraci

References

Ma Y., Genton M., and Parzen E. Asymptotic properties of sample quantiles of discrete distributions. Annals of the Institute of Statistical Mathematics 2011;63(2):227-243

Parzen E. Quantile probability and statistical data modeling. Statistical Science 2004;19(4):652-62.

Examples

x <- rpois(100, lambda = 3)
mq <- midquantile(x)
confint(mq, level = 0.95)

# print standard errors
attributes(confint(mq, level = 0.95))$stderr

Directional Quantile Classification

Description

This function is used to classify multivariate observations by means of directional quantiles.

Usage

dqc(formula, data, df.test, subset, weights, na.action, control = list(),
	fit = TRUE)
dqc.fit(x, z, y, control)

Arguments

Details

Directional quantile classification is described in the article by Viroli et al (2020).

Value

a list of class dqc containing the following components

Author(s)

Marco Geraci with contributions from Cinzia Viroli

References

Viroli C, Farcomeni A, Geraci M (2020). Directional quantile-based classifiers (in preparation).

See Also

dqcControl

Examples

## Not run: 
# Iris data
data(iris)

# Create training and prediction datasets

n <- nrow(iris)
ng <- length(unique(iris$Species))
df1 <- iris[c(1:40, 51:90, 101:140),]
df2 <- iris[c(41:50, 91:100, 141:150),]

# Classify
ctrl <- dqcControl(nt = 10, ndir = 5000, seed = 123)
fit <- dqc(Species ~ Sepal.Length + Petal.Length,
	data = df1, df.test = df2, control = ctrl)

# Data frame with predictions
fit$ans

# Confusion matrix
print(cm <- xtabs( ~ fit$ans$groups + df2$Species))

# Misclassification rate
1-sum(diag(cm))/nrow(df2)

## End(Not run)

Control parameters for dqc estimation

Description

A list of parameters for controlling the fitting process.

Usage

dqcControl(tau.range = c(0.001, 0.999), nt = 10, ndir = 50, seed = NULL)

Arguments

Details

A directional quantile classifier (Viroli et al, 2020) is computed over a grid of quantile probabilities. The vector tau.range must be of length 2, providing a minimum and a maximum for the grid, or of length 1, in which case the grid will have only one probability equal to tau.range. In the latter case nt is ignored and set equal to 1.

Value

a list of control parameters.

Author(s)

Marco Geraci

References

Viroli C, Farcomeni A, Geraci M (2020). Directional quantile-based classifiers (in preparation).

See Also

dqc

Esterase Essay Data

Description

The esterase data frame has 113 rows and 2 columns with the results of an essay for the concentration of an enzyme esterase.

Format

This data frame contains the following columns:

Esterase

amount of esterase.

Count

observed count.

Details

The esterase essay data were reported by Caroll and Ruppert (1988) and successively analyzed by Zhao (2000).

Source

R. J. Carroll and D. Ruppert, Transformation and Weighting in Regression. London: Chapman and Hall, 1988.

References

Zhao QS. Restricted regression quantiles. Journal of Multivariate Analysis 2000;72(1):78-99.

Extract Fitted Values from Mid-Quantile Transformation Models

Description

This function extracts fitted values from objects of class midrq.

Usage

## S3 method for class 'midrq'
fitted(object, ...)

Arguments

Value

a vector or a matrix or an array of fitted values.

Author(s)

Marco Geraci

See Also

predict.midrq

Extract Fitted Values from Quantile Regression Models for Counts

Description

This function extracts fitted values from objects of class rq.counts.

Usage

## S3 method for class 'rq.counts'
fitted(object, ...)

Arguments

Value

a vector or a matrix or an array of fitted values.

Author(s)

Marco Geraci

See Also

predict.rq.counts

Extract Fitted Values from Quantile Regression Transformation Models

Description

This function extracts fitted values from objects of class rqt.

Usage

## S3 method for class 'rqt'
fitted(object, ...)

Arguments

Value

a vector or a matrix or an array of fitted values.

Author(s)

Marco Geraci

See Also

predict.rqt

Labor Pain Data

Description

The labor data frame has 358 rows and 4 columns of the change in pain over time for several 83 women in labor.

Format

This data frame contains the following columns:

subject

an ordered factor indicating the subject on which the measurement was made. The levels are labelled 1 to 83.

pain

a numeric vector of self–reported pain scores on a 100mm line.

treatment

a dummy variable with values 1 for subjects who received a pain medication and 0 for subjects who received a placebo.

time

a numeric vector of times (minutes since randomization) at which pain was measured.

Details

The labor pain data were reported by Davis (1991) and successively analyzed by Jung (1996) and Geraci and Bottai (2007). The data set consists of repeated measurements of self–reported amount of pain on N = 83 women in labor, of which 43 were randomly assigned to a pain medication group and 40 to a placebo group. The response was measured every 30 min on a 100–mm line, where 0 means no pain and 100 means extreme pain. A nearly monotone pattern of missing data was found for the response variable and the maximum number of measurements for each woman was six.

Source

Davis CS (1991). Semi–parametric and non–parametric methods for the analysis of repeated measurements with applications to clinical trials. Statistics in Medicine 10, 1959–80.

References

Geraci M and Bottai M (2007). Quantile regression for longitudinal data using the asymmetric Laplace distribution. Biostatistics 8(1), 140–154.

Jung S (1996). Quasi–likelihood for median regression models. Journal of the American Statistical Association 91, 251–7.

Marginal Effects

Description

This function computes marginal effects for rqt and rq.counts objects.

Usage

maref(object, namevec)
## S3 method for class 'rqt'
maref(object, namevec)
## S3 method for class 'rq.counts'
maref(object, namevec)

Arguments

Details

Given the \tauth conditional quantile function Q_{h(Y)|X}(\tau) = \eta = Xb, where Y is the response variable, X a design matrix, and h is a one-parameter transformation with inverse h^{-1} = g, maref computes the marginal effect:

\frac{dQ_{Y|X}(\tau)}{dx_{j}} = \frac{dg\{Q_{h(Y)|X}(\tau)\}}{dx_{j}}

where x_{j} is the j-th covariate with respect to which the marginal effect is to be computed and its name is given in the argument namevec.

The derivative of the quantile function is the the product of two components

\frac{dQ_{Y|X}(\tau)}{dx_{j}} = \frac{dg(\eta)}{d\eta} \cdot \frac{d\eta}{dx_{j}}

The derivative w.r.t. the linear predictor \eta is calculated symbolically after parsing the object's formula and is evaluated using the object's model frame. The function that parses formulae has a limited scope. It recognizes interactions and basic operators (e.g., log, exp, etc.). Therefore, it is recommended to use simple expressions for the model's formula.

This function can be applied to models of class rqt and rq.counts. Note that marginal effects can be similarly obtained using predict.rqt or predict.rq.counts with argument type = "maref" which, in addition, allows for an optional data frame to be specified via newdata.

Value

a vector for single quantiles or a matrix for multiple quantiles of marginal effects.

Author(s)

Marco Geraci

See Also

tsrq

Examples

## Not run: 
# Box-Cox quantile regression model (dataset trees from package 'datasets')
fit <- tsrq(Volume ~ Height, data = trees, tsf = "bc", tau = 0.9)

# Coefficients (transformed scale)
coef(fit)

# Design matrix
head(fit$x)

# Marginal effect of 'Height'
maref(fit, namevec = "Height")

# Predict marginal effects over grid of values for Height
nd <- data.frame(Height = seq(min(trees$Height), max(trees$Height), length = 100))
x <- predict(fit, newdata = nd, type = "maref", namevec = "Height")

# Plot
plot(nd$Height, x, xlab = "Height", ylab = "Marginal effect on volume")

# Include 'Girth' and interaction between 'Height' and 'Girth'
fit <- tsrq(Volume ~ Height * Girth, data = trees, tsf = "bc", tau = 0.5)
head(fit$x)

# Predict marginal effects over grid of values for Height (for fixed girth)
nd$Girth <- rep(mean(trees$Girth), 100)
x <- predict(fit, newdata = nd, type = "maref", namevec = "Height")
plot(nd$Height, x, xlab = "Height", ylab = "Marginal effect on volume")

# Quantile regression for counts (log transformation)
data(esterase)
fit <- rq.counts(Count ~ Esterase, tau = 0.25, data = esterase, M = 50)
maref(fit, namevec = "Esterase")

## End(Not run)

QR-based Multiple Imputation

Description

This function is used to multiply impute missing values using quantile regression imputation models.

Usage

mice.impute.rq(y, ry, x, tsf = "none", symm = TRUE, dbounded = FALSE,
	lambda = NULL, x.r = NULL, par = NULL, conditional = TRUE,
	epsilon = 0.001, method.rq = "fn", ...)
mice.impute.rrq(y, ry, x, tsf = "none", symm = TRUE, dbounded = FALSE,
	lambda = NULL, epsilon = 0.001, method.rq = "fn", ...)

Arguments

Details

This function implements the methods proposed by Geraci (2016) and Geraci and McLain (2018) to impute missing values using quantile regression models. Uniform values are sampled from [epsilon, 1 - epsilon], therefore allowing the interval to be bounded away from 0 and 1 (default is 0.001). It is possible to specify a quantile regression transformation model with parameter lambda (Geraci and Jones). The function mice.impute.rrq performs imputation based on restricted regression quantiles to avoid quantile crossing (see Geraci 2016 for details).

Value

A vector of length nmis with imputations.

Author(s)

Marco Geraci

References

Bottai, M., & Zhen, H. (2013). Multiple imputation based on conditional quantile estimation. Epidemiology, Biostatistics, and Public Health, 10(1), e8758.

Geraci, M. (2016). Estimation of regression quantiles in complex surveys with data missing at random: An application to birthweight determinants. Statistical Methods in Medical Research, 25(4), 1393-1421.

Geraci, M., and Jones, M. C. (2015). Improved transformation-based quantile regression. Canadian Journal of Statistics, 43(1), 118-132.

Geraci, M., and McLain, A. (2018). Multiple imputation for bounded variables. Psychometrika, 83(4), 919-940.

van Buuren, S., and Groothuis-Oudshoorn, K. (2011). mice: Multivariate imputation by chained equations in R. Journal of Statistical Software, 45(3), 1–67.

See Also

ao, tsrq

Examples

## Not run: 

# Load package 'mice'
require(mice)

# Load data nhanes
data(nhanes)
nhanes2 <- nhanes
nhanes2$hyp <- as.factor(nhanes2$hyp)

# Impute continuous variables using quantile regression
set.seed(199)
imp <- mice(nhanes2, meth = c("polyreg", "rq", "logreg", "rq"), m = 5)

# estimate linear regression and pool results
fit <- lm.mids(bmi ~ hyp + chl, data = imp)
pool(fit)

# Impute using restricted quantile regression
set.seed(199)
imp <- mice(nhanes2, meth = c("polyreg", "rrq", "logreg", "rrq"), m = 5)
fit <- lm.mids(bmi ~ hyp + chl, data = imp)
pool(fit)

# Impute using quantile regression + Box-Cox transformation with parameter
# lambda = 0 (ie, log transformation)

set.seed(199)
imp <- mice(nhanes2, meth = c("polyreg", "rq", "logreg", "rq"), m = 5, tsf = "bc", lambda = 0)
fit <- lm.mids(bmi ~ hyp + chl, data = imp)
pool(fit)



## End(Not run)

Recover Ordinary Conditional Quantiles from Conditional Mid-Quantiles

Description

This function recovers ordinary conditional quantile functions based on fitted mid-quantile regression models.

Usage

midq2q(object, newdata, observed = FALSE, ...)

Arguments

Details

If the values of the support of the random variable are equally spaced integers, then observed should ideally be set to FALSE so that the ordinary quantile is obtained by rounding the predicted mid-quantile. Otherwise, the function returns an integer observed in the sample. See Geraci and Farcomeni for more details.

Value

a vector or a matrix of estimated ordinary quantiles. The attribute Fhat provides the corresponding estimated cumulative distribution.

Author(s)

Marco Geraci

References

Geraci, M. and A. Farcomeni. Mid-quantile regression for discrete responses. arXiv:1907.01945 [stat.ME]. URL: https://arxiv.org/abs/1907.01945.

See Also

plot.midq2q, predict.midrq

Examples

## Not run: 
# Esterase data
data(esterase)

# Fit quantiles 0.1, 0.15, ..., 0.85
fit <- midrq(Count ~ Esterase, tau = 2:17/20, data = esterase, type = 3, lambda = 0)

# Recover ordinary quantile function
xx <- seq(min(esterase$Esterase), max(esterase$Esterase), length = 5)
print(Qhat <- midq2q(fit, newdata = data.frame(Esterase = xx)))

# Plot
plot(Qhat, sub = TRUE)


## End(Not run)

Mid-distribution Functions

Description

Compute mid-cumulative probabilities and mid-quantiles

Usage

midecdf(x, na.rm = FALSE)
midquantile(x, probs = 1:3/4, na.rm = FALSE)

Arguments

Value

An object of class class midecdf or midquantile with mid-cumulative probabilities and mid-quantiles. For midecdf, this is a list that contains:

For midquantile, this is a list that contains:

Author(s)

Marco Geraci

References

Ma Y., Genton M., and Parzen E. Asymptotic properties of sample quantiles of discrete distributions. Annals of the Institute of Statistical Mathematics 2011;63(2):227-243

Parzen E. Quantile probability and statistical data modeling. Statistical Science 2004;19(4):652-62.

See Also

confint.midquantile, plot.midquantile

Examples

x <- rpois(100, lambda = 3)
midquantile(x)

Mid-Quantile Regression for Discrete Responses

Description

This function is used to fit a mid-quantile regression model when the response is discrete.

Usage

midrq(formula, data, tau = 0.5, lambda = NULL, subset, weights, na.action,
	contrasts = NULL, offset, type = 3, midFit = NULL, control = list())
midrq.fit(x, y, offset, lambda, binary, midFit, type, tau, method)

Arguments

Details

A linear mid-quantile regression model is fitted to the transformed response. The transformation of the response can be changed with the argument lambda. If lambda = NULL, then no transformation is applied (i.e., identity); if lambda is a numeric value, then the Box-Cox transformation is applied (e.g., 0 for log-transformation). However, midrq will automatically detect whether the response is binary, in which case the Aranda-Ordaz transformation is applied. In contrast, the user must declare whether the response is binary in midrq.fit.

There are 3 different estimators. type = 1 is based on a general-purpose estimator (i.e., optim). type = 2 is similar to type = 1, except the loss function is averaged over the space of the predictors (i.e., CUSUM). type = 3 is the least-squares estimator discussed by Geraci and Farcomeni (2019).

The warning ‘tau is outside mid-probabilities range’ indicates that there are observations for which tau is below or above the range of the corresponding estimated conditional mid-probabilities. This affects estimation in a way similar to censoring.

Value

a list of class midrq containing the following components

Author(s)

Marco Geraci with contributions from Alessio Farcomeni

References

Geraci, M. and A. Farcomeni. Mid-quantile regression for discrete responses. arXiv:1907.01945 [stat.ME]. URL: https://arxiv.org/abs/1907.01945.

See Also

residuals.midrq, predict.midrq, coef.midrq

Examples

## Not run: 
# Esterase data
data(esterase)

# Fit quantiles 0.25 and 0.75
fit <- midrq(Count ~ Esterase, tau = c(0.25, 0.75), data = esterase, type = 3, lambda = 0)
coef(fit)

# Plot
with(esterase, plot(Count ~ Esterase))
lines(esterase$Esterase, fit$fitted.values[,1], col = "blue")
lines(esterase$Esterase, fit$fitted.values[,2], col = "red")
legend(8, 1000, lty = c(1,1), col = c("blue", "red"), legend = c("tau = 0.25","tau = 0.75"))


## End(Not run)

Control parameters for midrq estimation

Description

A list of parameters for controlling the fitting process.

Usage

midrqControl(method = "Nelder-Mead", ecdf_est = "npc", npc_args = list())

Arguments

Value

a list of control parameters.

Author(s)

Marco Geraci

References

Geraci, M. and A. Farcomeni. Mid-quantile regression for discrete responses. arXiv:1907.01945 [stat.ME]. URL: https://arxiv.org/abs/1907.01945.

Li, Q. and J. S. Racine (2008). Nonparametric estimation of conditional cdf and quantile functions with mixed categorical and continuous data. Journal of Business and Economic Statistics 26(4), 423-434.

See Also

midrq

Control parameters for gradient search estimation

Description

A list of parameters for controlling the fitting process.

Usage

nlControl(tol_ll = 1e-05, tol_theta = 0.001, check_theta = FALSE,
	step = NULL, beta = 0.5, gamma = 1.25, reset_step = FALSE,
	maxit = 1000, smooth = FALSE, omicron = 0.001, verbose = FALSE)

Arguments

Details

The optimization algorithm is along the lines of the gradient search algorithm (Bottai et al, 2015). If smooth = TRUE, the classical non-differentiable loss function is replaced with a smooth version (Chen and Wei, 2005).

Value

a list of control parameters.

Author(s)

Marco Geraci

References

Bottai M, Orsini N, Geraci M (2015). A Gradient Search Maximization Algorithm for the Asymmetric Laplace Likelihood, Journal of Statistical Computation and Simulation, 85(10), 1919-1925.

Chen C, Wei Y (2005). Computational issues for quantile regression. Sankhya: The Indian Journal of Statistics, 67(2), 399-417.

See Also

nlrq1

Plot Quantile Functions

Description

Plot an object generated by midq2q.

Usage

## S3 method for class 'midq2q'
plot(x, ..., xlab = "p", ylab = "Quantile",
	main = "Ordinary Quantile Function", sub = TRUE, verticals = TRUE,
	col.steps = "gray70", cex.points = 1, jumps = FALSE)

Arguments

Author(s)

Marco Geraci

See Also

midq2q, midecdf, midquantile

Plot Mid-distribution Functions

Description

Plot an object generated by midecdf or midquantile.

Usage

## S3 method for class 'midecdf'
plot(x, ..., ylab = "p", main = "Ordinary and Mid-ECDF", verticals = FALSE,
	col.01line = "gray70", col.steps = "gray70", col.midline ="black", cex.points = 1,
	lty.midline = 2, lwd = 1, jumps = FALSE)
## S3 method for class 'midquantile'
plot(x, ..., xlab = "p", ylab = "Quantile", main = "Ordinary and Mid-Quantiles",
	col.steps = "gray70", col.midline = "black", cex.points = 1, lty.midline = 2,
	lwd = 1, jumps = FALSE)

Arguments

Author(s)

Marco Geraci

See Also

midecdf, midquantile

Quantile-based Summary Statistics for Location, Scale and Shape

Description

This function plots location, scale and shape of a conditional distribution.

Usage

## S3 method for class 'qlss'
plot(x, z, whichp = NULL, interval = FALSE, type = "l", ...)

Arguments

Details

This function plots a qlss object from qlss or predict.qlss.

Author(s)

Marco Geraci

See Also

qlss

Examples

trees2 <- trees[order(trees$Height),]
fit <- qlss(Volume ~ Height, data = trees2, probs = c(.05, .1))
# Plot the results for probs = 0.1
plot(fit, z = trees2$Height, whichp = 0.1, xlab = "height")

Predictions from Mid-Quantile Regression Models

Description

This function computes predictions based on fitted mid-quantile regression models.

Usage

## S3 method for class 'midrq'
predict(object, newdata, offset, na.action = na.pass,
	type = "response", ...)

Arguments

Value

a vector or a matrix or an array of predictions.

Author(s)

Marco Geraci

See Also

residuals.midrq, midrq, coef.midrq

Predictions from Conditional LSS Objects

Description

This function computes predictions based on fitted conditional QLSS objects.

Usage

## S3 method for class 'qlss'
predict(object, newdata, interval = FALSE, level = 0.95, R = 200,
	na.action = na.pass, trim = 0.05, ...)

Arguments

Author(s)

Marco Geraci

See Also

qlss.formula

Examples

## Not run: 
# Fit QLSS object
trees2 <- trees[order(trees$Height),]
fit <- qlss(Volume ~ Height, data = trees2)

## Predict using newdata. Calculate confidence intervals using 200 bootstrap replications
# large confidence intervals for shape index due to small IQR at low values of height
#xx <- seq(min(trees2$Height), max(trees2$Height), length = 100)
#new <- data.frame(Height = xx)
#set.seed(121)
#fit.pred <- predict(fit, newdata = new, interval = TRUE, level = 0.95, R = 200)
#plot(fit.pred, z = xx, interval = TRUE, xlab = "height")

# Restrict range for Height

xx <- seq(65, 87, length = 100)
new <- data.frame(Height = xx)
set.seed(121)
fit.pred <- predict(fit, newdata = new, interval = TRUE, level = 0.95, R = 200)
plot(fit.pred, z = xx, interval = TRUE, xlab = "height") # better


## End(Not run)

Predictions from Quantile Ratio Regression Models

Description

This function computes predictions based on quantile ratio regression models.

Usage

## S3 method for class 'qrr'
predict(object, newdata, na.action = na.pass,
type = "response", ...)

Arguments

Value

a vector of predictions.

Author(s)

Marco Geraci

See Also

qrr

Predictions from rq.counts Objects

Description

This function computes predictions based on fitted linear quantile models.

Usage

## S3 method for class 'rq.counts'
predict(object, newdata, offset,
	na.action = na.pass, type = "response",
	namevec = NULL, ...)

Arguments

Value

a vector or a matrix or an array of predictions.

Author(s)

Marco Geraci

See Also

residuals.rq.counts, rq.counts, coef.rq.counts, maref.rq.counts

Examples

# Esterase data
data(esterase)

# Fit quantiles 0.25 and 0.75
fit <- rq.counts(Count ~ Esterase, tau = 0.5, data = esterase, M = 50)
cbind(fit$fitted.values, predict(fit, type = "response"))

Predictions from Quantile Regression Transformation Models

Description

This function computes predictions based on fitted quantile regression transformation models.

Usage

## S3 method for class 'rqt'
predict(object, newdata, na.action = na.pass,
type = "response", namevec = NULL, ...)

Arguments

Value

a vector or a matrix or an array of predictions.

Author(s)

Marco Geraci

See Also

residuals.rqt, tsrq, coef.rqt, maref.rqt

Predictions from Restricted Quantile Regression Models

Description

This function computes predictions based on fitted restricted quantile regression models.

Usage

## S3 method for class 'rrq'
predict(object, newdata, na.action = na.pass, ...)

Arguments

Value

a vector or a matrix or an array of predictions.

Author(s)

Marco Geraci

Print Goodness-of-Fit Test for Quantile Regression Models

Description

Print an object generated by GOFTest.

Usage

## S3 method for class 'GOFTest'
print(x, digits = max(3, getOption("digits") - 3), ...)

Arguments

Author(s)

Marco Geraci

See Also

GOFTest

Print Mid-distribution Functions

Description

Print an object generated by cmidecdf.

Usage

## S3 method for class 'cmidecdf'
print(x, ...)

Arguments

Author(s)

Marco Geraci

See Also

cmidecdf

Print Directional Quantile Classification Objects

Description

Print an object of class dqc.

Usage

## S3 method for class 'dqc'
print(x, ...)

Arguments

Author(s)

Marco Geraci

See Also

dqc

Print Mid-distribution Functions

Description

Print an object generated by midecdf or midquantile.

Usage

## S3 method for class 'midecdf'
print(x, ...)
## S3 method for class 'midquantile'
print(x, ...)

Arguments

Author(s)

Marco Geraci

See Also

midecdf, midquantile

Print Mid-Quantile Models

Description

Print an object of class midrq or summary.midrq.

Usage

## S3 method for class 'midrq'
print(x, ...)
## S3 method for class 'summary.midrq'
print(x, ...)

Arguments

Author(s)

Marco Geraci

See Also

midrq

Print Quantile-based Summary Statistics for Location, Scale and Shape

Description

Print an object generated by qlss.

Usage

## S3 method for class 'qlss'
print(x, ...)

Arguments

Author(s)

Marco Geraci

See Also

qlss

Print Quantile Ratio Regression Models

Description

Print an object of class qrr or summary.qrr.

Usage

## S3 method for class 'qrr'
print(x, ...)
## S3 method for class 'summary.qrr'
print(x, ...)

Arguments

Author(s)

Marco Geraci

See Also

qrr

Print rq.counts

Description

Print an object generated by rq.counts.

Usage

## S3 method for class 'rq.counts'
print(x, digits = max(3, getOption("digits") - 3), ...)

Arguments

Author(s)

Marco Geraci

See Also

rq.counts

Print Transformation Models

Description

Print an object of class rqt or summary.rqt.

Usage

## S3 method for class 'rqt'
print(x, ...)
## S3 method for class 'summary.rqt'
print(x, ...)

Arguments

Author(s)

Marco Geraci

See Also

tsrq, rcrq, tsrq2 or nlrq2

Print Restricted Quantile Regression Models

Description

Print an object of class rrq or summary.rrq.

Usage

## S3 method for class 'rrq'
print(x, ...)
## S3 method for class 'summary.rrq'
print(x, ...)

Arguments

Author(s)

Marco Geraci

See Also

rrq

Exact Confidence Intervals for Quantiles

Description

Compute exact confidence intervals for quantiles of continuous random variables using binomial probabilities

Usage

qexact(x, probs = 0.5, level = 0.95)

Arguments

Details

This function calculates exact confidence intervals for quantiles at level probs from a vector x of length n. It does so by first determining the confidence level for all possible pairwise combinations of order statistics from 1 to n. This entails "n choose 2" possible confidence intervals before selecting the one with the level closest to level. If the procedure yields more than one such confidence intervals, then the interval with smallest width is returned.

Caution: for large n, the procedure may reach the limit on the number of nested expressions. See gtools::combinations and options(expressions) for additional information. However, if you have a large n, then consider estimating an asymptotic approximation of the confidence interval.

Author(s)

Marco Geraci

References

Thompson W. R. On confidence ranges for the median and other expectation distributions for populations of unknown distribution form. The Annals of Mathematical Statistics 1936;7(3):122-128.

Examples

x <- rnorm(100)
qexact(x, p = c(0.1,0.5), level = 0.9)

Quantile-based Summary Statistics for Location, Scale and Shape

Description

This function calculates quantile-based summary statistics for location, scale and shape of a distribution, unconditional or conditional.

Usage

qlss(...)
## Default S3 method:
qlss(fun = "qnorm", probs = 0.1, ...)
## S3 method for class 'numeric'
qlss(x, probs = 0.1, ...)
## S3 method for class 'formula'
qlss(formula, probs = 0.1, data = sys.frame(sys.parent()), subset, weights,
	na.action, contrasts = NULL, method = "fn", type = "rq", tsf = "mcjI",
	symm = TRUE, dbounded = FALSE, lambda = NULL, conditional = FALSE, ...)

Arguments

Details

This function computes a number of quantile-based summary statistics for location (median), scale (inter-quartile range and inter-quantile range), and shape (Bowley skewness and shape index) of a distribution. These statistics can be computed for unconditional and conditional distributions.

Let Y be a continuous random variable and let Q(p) be its pth quantile. The function qlss computes the median Q(0.5), the inter-quartile range IQR = Q(0.75) - Q(0.25), the inter-quantile range IPR(p) = Q(1-p) - Q(p), the Bowley skewness index A(p) = (Q(1-p) + Q(p) - 2Q(0.5))/IPR(p), and the shape index T(p) = IPR(p)/IQR, for 0 < p < 0.25.

The default qlss function computes the summary statistics of a standard normal distribution or any other theoretical distribution via the argument fun. The latter must be a function with p as its probability argument (see for example qnorm, qt, qchisq, qgamma, etc.). When a variable x is provided, LSS measures are computed using empirical (sample) quantiles.

The argument formula specifies a quantile function for Y conditional on predictors X. Linear models are fitted via standard quantile regression with type = "rq". Nonlinear models are fitted via transformation-based quantile regression with type = "rqt" (proposal II transformation models are not available.). When conditional = TRUE, lambda is a vector of transformation parameters of length 3 + 2 x np, where np = length(probs) (3 quartiles, np quantiles at level p, np quantiles at level 1 - p).

Value

qlss returns an object of class qlss. This is a list that contains at least three elements:

Author(s)

Marco Geraci

References

Geraci M and Jones MC. Improved transformation-based quantile regression. Canadian Journal of Statistics 2015;43(1):118-132.

Gilchrist W. Statistical modelling with quantile functions. Chapman and Hall/CRC; 2000.

See Also

predict.qlss, plot.qlss

Examples

# Compute summary statistics of a normal distribution
qlss()

# Compute summary statistics of a t distribution with 3 df
qlss(fun = "qt", df = 3, probs = 0.05)

# Compute summary statistics for a sample using a sequence of probabilities
x <- rnorm(1000)
qlss(x, probs = c(0.1, 0.2, 0.3, 0.4))

# Compute summary statistics for Volume conditional on Height
trees2 <- trees[order(trees$Height),]
fit <- qlss(Volume ~ Height, data = trees2)
plot(fit, z = trees2$Height, xlab = "height")

# Use a quadratic model for Height
fit <- qlss(Volume ~ poly(Height,2), data = trees2)
plot(fit, z = trees2$Height, xlab = "height")

Quantile Ratio Regression

Description

This function fits a quantile ratio regression model

Usage

qrr(formula, data, taus, start = "rq", beta = NULL,
tsf = "bc", symm = TRUE, dbounded = FALSE, linearize = TRUE, 
kernel = "Gaussian", maxIter = 10, epsilon = 1e-05,
verbose = FALSE, method.rq = "fn", method.nlrq = "L-BFGS-B")

Arguments

Details

These function implements quantile ratio regression as discussed by Farcomeni and Geraci (see references). The general model is assumed to be g(Q_{Y|X}(\tau_{1})/Q_{Y|X}(\tau_{2})) = \eta = Xb where Q denotes the conditional quantile function, Y is the response variable, X a design matrix, g is a monotone link function, and \tau_{1} and \tau_{2} the levels of the two quantiles in the ratio. In the current implementation, g(u) = log(u - 1), which ensures monotonocity (non-crossing) of the quantiles and leads to the familiar interpretation of the inverse logistic transformation.

Author(s)

Marco Geraci

References

Farcomeni A. and Geraci M. Quantile ratio regression. 2023. Working Paper.

See Also

coef.qrr, predict.qrr, summary.qrr, vcov.qrr

Examples

set.seed(123)
n <- 5000
x <- runif(n, -0.5, 0.5)
R <- 1 + exp(0.5 + 0.5*x)

# fit quintile ratio regression
alpha <- 1/log(R)*log(log(1-0.8)/log(1-0.2))
y <- rweibull(n, shape = alpha, scale = 1)
dd <- data.frame(x = x, y = y)
qrr(y ~ x, data = dd, taus = c(.2,.8))

# fit Palma ratio regression
alpha <- 1/log(R)*log(log(1-0.9)/log(1-0.4))
y <- rweibull(n, shape = alpha, scale = 1)
dd <- data.frame(x = x, y = y)
qrr(y ~ x, data = dd, taus = c(.4,.9))

Residuals from a midrq Objects

Description

This function computes the residuals from a fitted mid-quantile regression model.

Usage

## S3 method for class 'midrq'
residuals(object, ...)

Arguments

Value

a vector or matrix of residuals.

Author(s)

Marco Geraci

See Also

midrq

Residuals from an rq.counts Object

Description

This function computes the residuals from a fitted linear quantile model for counts.

Usage

## S3 method for class 'rq.counts'
residuals(object, ...)

Arguments

Value

a vector or matrix of residuals.

Author(s)

Marco Geraci

See Also

rq.counts

Residuals from an rqt Objects

Description

This function computes the residuals from a fitted quantile regression transformation model.

Usage

## S3 method for class 'rqt'
residuals(object, ...)

Arguments

Value

a vector or matrix of residuals.

Author(s)

Marco Geraci

See Also

tsrq

Quantile Regression for Counts

Description

This function is used to fit a (log-linear) quantile regression model when the response is a count variable.

Usage

rq.counts(formula, data = sys.frame(sys.parent()), tau = 0.5, subset, weights,
	na.action, contrasts = NULL, offset = NULL, method = "fn", M = 50,
	zeta = 1e-5, B = 0.999, cn = NULL, alpha = 0.05)

Arguments

Details

A linear quantile regression model is fitted to the log–transformed response. The notation used here follows closely that of Machado and Santos Silva (2005). This function is based on routines from package quantreg (Koenker, 2016). See also lqm.counts from package lqmm (Geraci, 2014) for Laplace gradient estimation.

As of version 1.4, the transformation of the response cannot be changed. This option may be reinstated in future versions.

Value

a list of class rq.counts containing the following components

Author(s)

Marco Geraci

References

Geraci M. Linear quantile mixed models: The lqmm package for Laplace quantile regression. Journal of Statistical Software. 2014;57(13):1-29.

Geraci M and Jones MC. Improved transformation-based quantile regression. Canadian Journal of Statistics 2015;43(1):118-132.

Koenker R. quantreg: Quantile Regression. 2016. R package version 5.29.

Machado JAF, Santos Silva JMC. Quantiles for counts. Journal of the American Statistical Association. 2005;100(472):1226-37.

See Also

residuals.rq.counts, predict.rq.counts, coef.rq.counts, maref.rq.counts

Examples

# Esterase data
data(esterase)

# Fit quantiles 0.25 and 0.75
fit1 <- rq.counts(Count ~ Esterase, tau = 0.25, data = esterase, M = 50)
coef(fit1)
fit2 <- rq.counts(Count ~ Esterase, tau = 0.75, data = esterase, M = 50)
coef(fit2)

# Plot
with(esterase, plot(Count ~ Esterase))
lines(esterase$Esterase, fit1$fitted.values, col = "blue")
lines(esterase$Esterase, fit2$fitted.values, col = "red")
legend(8, 1000, lty = c(1,1), col = c("blue", "red"), legend = c("tau = 0.25","tau = 0.75"))

Restricted Regression Quantiles

Description

This function fits a restricted quantile regression model to avoid crossing of quantile curves.

Usage

rrq(formula, tau, data, subset, weights, na.action, method = "fn",
model = TRUE, contrasts = NULL, ...)
rrq.fit(x, y, tau, method = "fn", ...)
rrq.wfit(x, y, tau, weights, method = "fn", ...)

Arguments

Author(s)

Marco Geraci

References

He X. Quantile curves without crossing. The American Statistician 1997;51(2):186-192.

Koenker R. quantreg: Quantile Regression. 2016. R package version 5.29.

Examples

data(esterase)

# Fit standard quantile regression
fit <- quantreg::rq(Count ~ Esterase, data = esterase, tau = c(.1,.25,.5,.75,.9))
yhat <- fit$fitted.values

# Fit restricted quantile regression
fitr <- rrq(Count ~ Esterase, data = esterase, tau = c(.1,.25,.5,.75,.9))
yhat2 <- predict(fitr)


# Plot results
par(mfrow = c(1, 2))

# Plot regression quantiles
with(esterase, plot(Count ~ Esterase, pch = 16, cex = .8))
apply(yhat, 2, function(y,x) lines(x,y,lwd = 1.5), x = esterase$Esterase)

# Plot restricted regression quantiles
with(esterase, plot(Count ~ Esterase, pch = 16, cex = .8))
apply(yhat2, 2, function(y,x) lines(x,y,lwd = 1.5), x = esterase$Esterase)

Sparsity Estimation

Description

This function estimates the density and sparsity functions of the residuals from a rq or a rqt object.

Usage

sparsity(object, se = "nid", hs = TRUE)
## S3 method for class 'rq'
sparsity(object, se = "nid", hs = TRUE)
## S3 method for class 'rqs'
sparsity(object, se = "nid", hs = TRUE)
## S3 method for class 'rqt'
sparsity(object, se = "nid", hs = TRUE)

Arguments

Details

This function is based on the code from quantreg::summary.rq and quantreg::bandwidth.rq to estimate the sparsity function for linear quantile regression models (Koenker and Bassett, 1978) and transformation models of Geraci and Jones (2014).

Value

sparsity returns an object of class list that contains three elements:

Author(s)

Marco Geraci

References

Geraci M and Jones MC. Improved transformation-based quantile regression. Canadian Journal of Statistics 2015;43(1):118-132.

Koenker R. quantreg: Quantile Regression. 2016. R package version 5.29.

Koenker R, Bassett G. Regression quantiles. Econometrica. 1978;46(1):33-50.

Powell JL. Estimation of monotonic regression models under quantile restrictions. In: Barnett W, Powell J, Tauchen G, editors. Nonparametric and Semiparametric Methods in Econometrics and Statistics: Proceedings of the Fifth International Symposium on Economic Theory and Econometrics. New York, NY: Cambridge University Press 1991. p. 357-84.

See Also

rq

Examples

## Not run: 

data(trees)

# 'rqt' object

fit.rqt <- tsrq(Volume ~ Height, tsf = "bc", symm = FALSE, data = trees,
	lambda = seq(-10, 10, by = 0.01), tau = 0.5)
sparsity(fit.rqt)

# 'rq' object

fit.rq <- rq(Volume ~ Height, data = trees)
sparsity(fit.rq, se = "iid")
sparsity(fit.rq, se = "nid")
sparsity(fit.rq, se = "ker")

## End(Not run)

Summary for Mid-Quantile Regression Models

Description

This functions gives a summary list for a mid-quantile regression model.

Usage

## S3 method for class 'midrq'
summary(object, alpha = 0.05, numerical = FALSE, robust = FALSE, ...)

Arguments

Author(s)

Marco Geraci

References

Geraci, M. and A. Farcomeni. Mid-quantile regression for discrete responses. arXiv:1907.01945 [stat.ME]. URL: https://arxiv.org/abs/1907.01945.

See Also

midrq

Summary for Quantile Ratio Regression Models

Description

This functions gives a summary list for a quantile ratio regression model.

Usage

## S3 method for class 'qrr'
summary(object, se = "approximate", R = 200,
update = TRUE, ...)

Arguments

Author(s)

Marco Geraci

References

Farcomeni A. and Geraci M. Quantile ratio regression. 2023. Working Paper.

See Also

qrr

Summary for Quantile Regression Tranformation Models

Description

This functions gives a summary list for a quantile regression transformation model.

Usage

## S3 method for class 'rqt'
summary(object, alpha = 0.05, se = "boot", R = 50,
	sim = "ordinary", stype = "i", conditional = FALSE, ...)

Arguments

Details

If inference is carried out conditionally on the transformation parameter (ie, assuming this is known rather than estimated), any type of summary for regression quantiles can be used (see summary.rq).

For unconditional inference (conditional = FALSE), there are three methods available: boot for bootstrap; iid for large-n approximation of the standard errors under IID assumptions; nid for large-n approximation of the standard errors under NID assumptions. See Powell (1991), Chamberlain (1994) and Geraci and Jones (2015).

Author(s)

Marco Geraci

References

Canty A and Ripley B (2014). boot: Bootstrap R (S-Plus) Functions. R package version 1.3-11.

Chamberlain G. Quantile regression, censoring, and the structure of wages. In: Sims C, editor. Advances in Econometrics: Sixth World Congress. 1. Cambridge, UK: Cambridge University Press; 1994.

Davison AC and Hinkley DV (1997). Bootstrap Methods and Their Applications. Cambridge University Press, Cambridge.

Geraci M and Jones MC. Improved transformation-based quantile regression. Canadian Journal of Statistics 2015;43(1):118-132.

Mu YM, He XM. Power transformation toward a linear regression quantile. Journal of the American Statistical Association 2007;102(477):269-279.

Powell JL. Estimation of monotonic regression models under quantile restrictions. In: Barnett W, Powell J, Tauchen G, editors. Nonparametric and Semiparametric Methods in Econometrics and Statistics: Proceedings of the Fifth International Symposium on Economic Theory and Econometrics. New York, NY: Cambridge University Press 1991. p. 357-84.

See Also

tsrq, rcrq, tsrq2 or nlrq2

Summary for Restricted Quantile Regression Models

Description

This functions gives a summary list for a restricted quantile regression model.

Usage

## S3 method for class 'rrq'
summary(object, alpha = 0.05, se = "boot", R = 50,
	sim = "ordinary", stype = "i", ...)

Arguments

Details

A bootstrap approach is used for inference. Future developments of this function will include asymptotic standard errors.

Author(s)

Marco Geraci

References

Canty A and Ripley B (2014). boot: Bootstrap R (S-Plus) Functions. R package version 1.3-15.

Davison AC and Hinkley DV (1997). Bootstrap Methods and Their Applications. Cambridge University Press, Cambridge.

He X (1997). Quantile Curves without Crossing. The American Statistician, 51(2), 186-192.

Quantile Regression Transformation Models

Description

These functions are used to fit quantile regression transformation models.

Usage

tsrq(formula, data = sys.frame(sys.parent()), tsf = "mcjI", symm = TRUE,
	dbounded = FALSE, lambda = NULL, conditional = FALSE, tau = 0.5,
	subset,	weights, na.action,	contrasts = NULL, method = "fn")
tsrq2(formula, data = sys.frame(sys.parent()), dbounded = FALSE, lambda = NULL,
	delta = NULL, conditional = FALSE, tau = 0.5, subset, weights, na.action,
	contrasts = NULL, method = "fn")
rcrq(formula, data = sys.frame(sys.parent()), tsf = "mcjI", symm = TRUE,
	dbounded = FALSE, lambda = NULL, tau = 0.5, subset, weights, na.action,
	contrasts = NULL, method = "fn")
nlrq1(formula, data = sys.frame(sys.parent()), tsf = "mcjI", symm = TRUE,
	dbounded = FALSE, start = NULL, tau = 0.5,
	subset,	weights, na.action, contrasts = NULL, control = list())
nlrq2(formula, data = sys.frame(sys.parent()), dbounded = FALSE,
	start = NULL, tau = 0.5, subset, weights, na.action, contrasts = NULL)

Arguments

Details

These functions implement quantile regression transformation models as discussed by Geraci and Jones (see references). The general model is assumed to be Q_{h(Y)|X}(\tau) = \eta = Xb, where Q denotes the conditional quantile function, Y is the response variable, X a design matrix, and h is a monotone one- or two-parameter transformation. A typical model specified in formula has the form response ~ terms where response is the (numeric) response vector and terms is a series of terms which specifies a linear predictor for the quantile of the transformed response. The response, which is singly or doubly bounded, i.e. response > 0 or 0 <= response <= 1 respectively, undergoes the transformation specified in tsf. If the response is bounded in the generic [a,b] interval, the latter is automatically mapped to [0,1] and no further action is required. If, however, the response is singly bounded and contains negative values, it is left to the user to offset the response or the code will produce an error.

The functions tsrq and tsrq2 use a two-stage (TS) estimator (Fitzenberger et al, 2010) for, respectively, one- and two-parameter transformations. The function rcrq (one-parameter tranformations) is based on the residual cusum process estimator proposed by Mu and He (2007). The functions nlrq1 (one-parameter tranformations) and nlrq2 (two-parameter tranformations) are based on, respectively, gradient search and Nelder-Mead optimization.

Value

tsrq, tsrq2, rcrq, nlrq2 return an object of class rqt. This is a list that contains as typical components:

Author(s)

Marco Geraci

References

Aranda-Ordaz FJ. On two families of transformations to additivity for binary response data. Biometrika 1981;68(2):357-363.

Box GEP, Cox DR. An analysis of transformations. Journal of the Royal Statistical Society Series B-Statistical Methodology 1964;26(2):211-252.

Dehbi H-M, Cortina-Borja M, and Geraci M. Aranda-Ordaz quantile regression for student performance assessment. Journal of Applied Statistics. 2016;43(1):58-71.

Fitzenberger B, Wilke R, Zhang X. Implementing Box-Cox quantile regression. Econometric Reviews 2010;29(2):158-181.

Geraci M and Jones MC. Improved transformation-based quantile regression. Canadian Journal of Statistics 2015;43(1):118-132.

Jones MC. Connecting distributions with power tails on the real line, the half line and the interval. International Statistical Review 2007;75(1):58-69.

Koenker R. quantreg: Quantile Regression. 2016. R package version 5.29.

Mu YM, He XM. Power transformation toward a linear regression quantile. Journal of the American Statistical Association 2007;102(477):269-279.

See Also

predict.rqt, summary.rqt, coef.rqt, maref.rqt

Examples

###########################################################
## Example 1 - singly bounded (from Geraci and Jones, 2014)

## Not run: 

data(trees)
require(MASS)

dx <- 0.01

lambda0 <- boxcox(Volume ~ log(Height), data = trees,
	lambda = seq(-0.9, 0.5, by = dx))
lambda0 <- lambda0$x[which.max(lambda0$y)]
trees$z <- bc(trees$Volume,lambda0)
trees$y <- trees$Volume
trees$x <- log(trees$Height)
trees$x <- trees$x - mean(log(trees$Height))

fit.lm <- lm(z ~ x, data = trees)
newd <- data.frame(x = log(seq(min(trees$Height),
	max(trees$Height), by = 0.1)))
newd$x <- newd$x - mean(log(trees$Height))
ylm <- invbc(predict(fit.lm, newdata = newd), lambda0)

lambdas <- list(bc = seq(-10, 10, by=dx),
	mcjIs = seq(0,10,by = dx), mcjIa = seq(0,20,by = dx))

taus <- 1:3/4
fit0 <- tsrq(y ~ x, data = trees, tsf = "bc", symm = FALSE,
	lambda = lambdas$bc, tau = taus)
fit1 <- tsrq(y ~ x, data = trees, tsf = "mcjI", symm = TRUE,
	dbounded = FALSE, lambda = lambdas$mcjIs, tau = taus)
fit2 <- tsrq(y ~ x, data = trees, tsf = "mcjI", symm = FALSE,
	dbounded = FALSE, lambda = lambdas$mcjIa, tau = taus)


par(mfrow = c(1,3), mar = c(7.1, 7.1, 5.1, 2.1), mgp = c(5, 2, 0))

cx.lab <- 2.5
cx.ax <- 2
lw <- 2
cx <- 2
xb <- "log(Height)"
yb <- "Volume"
xl <- range(trees$x)
yl <- c(5,80)

yhat <- predict(fit0, newdata = newd)
plot(y ~ x, data = trees, xlim = xl, ylim = yl, main = "Box-Cox",
	cex.lab = cx.lab, cex.axis = cx.ax, cex.main = cx.lab,
	cex = cx, xlab = xb, ylab = yb)
lines(newd$x, yhat[,1], lwd = lw)
lines(newd$x, yhat[,2], lwd = lw)
lines(newd$x, yhat[,3], lwd = lw)
lines(newd$x, ylm, lwd = lw, lty = 2)

yhat <- predict(fit1, newdata = newd)
plot(y ~ x, data = trees, xlim = xl, ylim = yl, main = "Proposal I (symmetric)",
	cex.lab = cx.lab, cex.axis = cx.ax, cex.main = cx.lab,
	cex = cx, xlab = xb, ylab = yb)
lines(newd$x, yhat[,1], lwd = lw)
lines(newd$x, yhat[,2], lwd = lw)
lines(newd$x, yhat[,3], lwd = lw)
lines(newd$x, ylm, lwd = lw, lty = 2)

yhat <- predict(fit2, newdata = newd)
plot(y ~ x, data = trees, xlim = xl, ylim = yl, main = "Proposal I (asymmetric)",
	cex.lab = cx.lab, cex.axis = cx.ax, cex.main = cx.lab,
	cex = cx, xlab = xb, ylab = yb)
lines(newd$x, yhat[,1], lwd = lw)
lines(newd$x, yhat[,2], lwd = lw)
lines(newd$x, yhat[,3], lwd = lw)
lines(newd$x, ylm, lwd = lw, lty = 2)

## End(Not run)

###########################################################
## Example 2 - doubly bounded

## Not run: 

data(Chemistry)

Chemistry$gcse_gr <- cut(Chemistry$gcse, c(0,seq(4,8,by=0.5)))
with(Chemistry, plot(score ~ gcse_gr, xlab = "GCSE score",
	ylab = "A-level Chemistry score"))


# The dataset has > 31000 observations and computation can be slow
set.seed(178)
chemsub <- Chemistry[sample(1:nrow(Chemistry), 2000), ]

# Fit symmetric Aranda-Ordaz quantile 0.9
tsrq(score ~ gcse, data = chemsub, tsf = "ao", symm = TRUE,
	lambda = seq(0,2,by=0.01), tau = 0.9)

# Fit symmetric Proposal I quantile 0.9
tsrq(score ~ gcse, data = chemsub, tsf = "mcjI", symm = TRUE,
	dbounded = TRUE, lambda = seq(0,2,by=0.01), tau = 0.9)

# Fit Proposal II quantile 0.9 (Nelder-Mead)
nlrq2(score ~ gcse, data = chemsub, dbounded = TRUE, tau = 0.9)

# Fit Proposal II quantile 0.9 (grid search)
# This is slower than nlrq2 but more stable numerically
tsrq2(score ~ gcse, data = chemsub, dbounded = TRUE,
	lambda = seq(0, 2, by = 0.1), delta = seq(0, 2, by = 0.1),
	tau = 0.9)


## End(Not run)

###########################################################
## Example 3 - doubly bounded

data(labor)

new <- labor
new$y <- new$pain
new$x <- (new$time-30)/30
new$x_gr <- as.factor(new$x)

par(mfrow = c(2,2))

cx.lab <- 1
cx.ax <- 2.5
cx <- 2.5
yl <- c(0,0.06)

hist(new$y[new$treatment == 1], xlab = "Pain score", main = "Medication group",
	freq = FALSE, ylim = yl)

plot(y ~ x_gr, new, subset = new$treatment == 1, xlab = "Time (min)",
	ylab = "Pain score", axes = FALSE, range = 0)
axis(1, at = 1:6, labels = c(0:5)*30 + 30)
axis(2)
box()

hist(new$y[new$treatment == 0], xlab = "Pain score", main = "Placebo group",
	freq = FALSE, ylim = yl)

plot(y ~ x_gr, new, subset = new$treatment == 0, xlab = "Time (min)",
	ylab = "Pain score", axes = FALSE, range = 0)
axis(1, at = 1:6, labels = (0:5)*30 + 30)
axis(2)
box()

#

## Not run: 

taus <- c(1:3/4)
ls <- seq(0,3.5,by=0.1)

fit.aos <- tsrq(y ~ x*treatment, data = new, tsf = "ao", symm = TRUE,
	dbounded = TRUE, tau = taus, lambda = ls)
fit.aoa <- tsrq(y ~ x*treatment, data = new, tsf = "ao", symm = FALSE,
	dbounded = TRUE, tau = taus, lambda = ls)
fit.mcjs <- tsrq(y ~ x*treatment, data = new, tsf = "mcjI", symm = TRUE,
	dbounded = TRUE, tau = taus, lambda = ls)
fit.mcja <- tsrq(y ~ x*treatment, data = new, tsf = "mcjI", symm = FALSE,
	dbounded = TRUE, tau = taus, lambda = ls)
fit.mcj2 <- tsrq2(y ~ x*treatment, data = new, dbounded = TRUE, tau = taus,
	lambda = seq(0,2,by=0.1), delta = seq(0,1.5,by=0.3))
fit.nlrq <- nlrq2(y ~ x*treatment, data = new, start = coef(fit.mcj2, all = TRUE)[,1],
	dbounded = TRUE, tau = taus)

sel <- 0 # placebo (change to sel == 1 for medication group)
x <- new$x
nd <- data.frame(x = seq(min(x), max(x), length=200), treatment = sel)
xx <- nd$x+1

par(mfrow = c(2,2))

fit <- fit.aos
yhat <- predict(fit, newdata = nd)

plot(y ~ x_gr, new, subset = new$treatment == sel, xlab = "",
	ylab = "Pain score", axes = FALSE, main = "Aranda-Ordaz (s)",
	range = 0, col = grey(4/5))
apply(yhat, 2, function(y,x) lines(x, y, lwd = 2), x = xx)
axis(1, at = 1:6, labels = (0:5)*30 + 30)
axis(2, at = c(0, 25, 50, 75, 100))
box()

fit <- fit.aoa
yhat <- predict(fit, newdata = nd)

plot(y ~ x_gr, new, subset = new$treatment == sel, xlab = "", ylab = "",
	axes = FALSE, main = "Aranda-Ordaz (a)", range = 0, col = grey(4/5))
apply(yhat, 2, function(y,x) lines(x, y, lwd = 2), x = xx)
axis(1, at = 1:6, labels = (0:5)*30 + 30)
axis(2, at = c(0, 25, 50, 75, 100))
box()

fit <- fit.mcjs
yhat <- predict(fit, newdata = nd)

plot(y ~ x_gr, new, subset = new$treatment == sel, xlab = "Time (min)",
	ylab = "Pain score", axes = FALSE, main = "Proposal I (s)",
	range = 0, col = grey(4/5))
apply(yhat, 2, function(y,x) lines(x, y, lwd = 2), x = xx)
axis(1, at = 1:6, labels = (0:5)*30 + 30)
axis(2, at = c(0, 25, 50, 75, 100))
box()

fit <- fit.mcj2
yhat <- predict(fit, newdata = nd)

plot(y ~ x_gr, new, subset = new$treatment == sel, xlab = "Time (min)",
	ylab = "", axes = FALSE, main = "Proposal II", range = 0, col = grey(4/5))
apply(yhat, 2, function(y,x) lines(x, y, lwd = 2), x = xx)
axis(1, at = 1:6, labels = (0:5)*30 + 30)
axis(2, at = c(0, 25, 50, 75, 100))
box()

## End(Not run)

Variance-Covariance Matrix for a Fitted Mid-Quantile Regression Model Object

Description

This functions returns the variance-covariance matrix of the main parameters of a fitted midrq model object. The ‘main’ parameters of the model correspond to those returned by coef.

Usage

## S3 method for class 'midrq'
vcov(object, numerical = FALSE, robust = FALSE, ...)

Arguments

Author(s)

Marco Geraci with contributions from Alessio Farcomeni

References

Geraci, M. and A. Farcomeni. Mid-quantile regression for discrete responses. arXiv:1907.01945 [stat.ME]. URL: https://arxiv.org/abs/1907.01945.

See Also

midrq

Variance-Covariance Matrix for a Fitted Quantile Ratio Regression Model Object

Description

This functions returns the variance-covariance matrix of the coefficients of a fitted qrr model object.

Usage

## S3 method for class 'qrr'
vcov(object, method = "approximate", R = 200, update = TRUE, ...)

Arguments

Details

The use of update = FALSE is preferred when the function vcov.qrr is called from within another function.

Author(s)

Marco Geraci with contributions from Alessio Farcomeni

References

Farcomeni A. and Geraci M. Quantile ratio regression. 2023. Working Paper.

See Also

qrr