In clinical research,subgroup analysis can help identify patient groups that respond better or worse to specific treatments,improve therapeutic effect and safety,and is of great significance in precision medicine.This...In clinical research,subgroup analysis can help identify patient groups that respond better or worse to specific treatments,improve therapeutic effect and safety,and is of great significance in precision medicine.This article considers subgroup analysis methods for longitudinal data containing multiple covariates and biomarkers.We divide subgroups based on whether a linear combination of these biomarkers exceeds a predetermined threshold,and assess the heterogeneity of treatment effects across subgroups using the interaction between subgroups and exposure variables.Quantile regression is used to better characterize the global distribution of the response variable and sparsity penalties are imposed to achieve variable selection of covariates and biomarkers.The effectiveness of our proposed methodology for both variable selection and parameter estimation is verified through random simulations.Finally,we demonstrate the application of this method by analyzing data from the PA.3 trial,further illustrating the practicality of the method proposed in this paper.展开更多
Branch size is a crucial characteristic,closely linked to both tree growth and wood quality.A review of existing branch size models reveals various approaches,but the ability to estimate branch diameter and length wit...Branch size is a crucial characteristic,closely linked to both tree growth and wood quality.A review of existing branch size models reveals various approaches,but the ability to estimate branch diameter and length within the same whorl remains underexplored.In this study,a total of 77 trees were sampled from Northeast China to model the vertical distribution of branch diameter and length within each whorl along the crown.Several commonly used functions were taken as the alternative model forms,and the quantile regression method was employed and compared with the classical two-step modeling approach.The analysis incorporated stand,tree,and competition factors,with a particular focus on how these factors influence branches of varying sizes.The modified Weibull function was chosen as the optimal model,due to its excellent performance across all quantiles.Eight quantile regression curves(ranging from 0.20 to 0.85)were combined to predict branch diameter,while seven curves(ranging from 0.20 to 0.80)were used for branch length.The results showed that the quantile regression method outperformed the classical approach at model fitting and validation,likely due to its ability to estimate different rates of change across the entire branch size distribution.Lager branches in each whorl were more sensitive to changes in DBH,crown length(CL),crown ratio(CR)and dominant tree height(H_(dom)),while slenderness(HDR)more effectively influenced small and medium-sized branches.The effect of stand basal area(BAS)was relatively consistent across different branch sizes.The findings indicate that quantile regression is a good way not only a more accurate method for predicting branch size but also a valuable tool for understanding how branch growth responds to stand and tree factors.The models developed in this study are prepared to be further integrated into tree growth and yield simulation system,contributing to the assessment and promotion of wood quality.展开更多
As extremely important methods, Lp regression methods have attracted the attention of either theoretical or empirical researchers all over the world. As special cases of that, quantile and expectile regression (with p...As extremely important methods, Lp regression methods have attracted the attention of either theoretical or empirical researchers all over the world. As special cases of that, quantile and expectile regression (with p = 1 and p = 2, respectively) are well acquainted with. In contrast with them, general Lp regression (with p equals 1 and 2) has recently been found to have many unexpected properties by some studies, especially when 1 p Lp quantile regression under various p settings and shows some recent advances in Lp quantile regression, theoretically and empirically.展开更多
Despite the maturity of ensemble numerical weather prediction(NWP),the resulting forecasts are still,more often than not,under-dispersed.As such,forecast calibration tools have become popular.Among those tools,quantil...Despite the maturity of ensemble numerical weather prediction(NWP),the resulting forecasts are still,more often than not,under-dispersed.As such,forecast calibration tools have become popular.Among those tools,quantile regression(QR)is highly competitive in terms of both flexibility and predictive performance.Nevertheless,a long-standing problem of QR is quantile crossing,which greatly limits the interpretability of QR-calibrated forecasts.On this point,this study proposes a non-crossing quantile regression neural network(NCQRNN),for calibrating ensemble NWP forecasts into a set of reliable quantile forecasts without crossing.The overarching design principle of NCQRNN is to add on top of the conventional QRNN structure another hidden layer,which imposes a non-decreasing mapping between the combined output from nodes of the last hidden layer to the nodes of the output layer,through a triangular weight matrix with positive entries.The empirical part of the work considers a solar irradiance case study,in which four years of ensemble irradiance forecasts at seven locations,issued by the European Centre for Medium-Range Weather Forecasts,are calibrated via NCQRNN,as well as via an eclectic mix of benchmarking models,ranging from the naïve climatology to the state-of-the-art deep-learning and other non-crossing models.Formal and stringent forecast verification suggests that the forecasts post-processed via NCQRNN attain the maximum sharpness subject to calibration,amongst all competitors.Furthermore,the proposed conception to resolve quantile crossing is remarkably simple yet general,and thus has broad applicability as it can be integrated with many shallow-and deep-learning-based neural networks.展开更多
This paper introduces a novel approach for parameter sensitivity evaluation and efficient slope reliability analysis based on quantile-based first-order second-moment method(QFOSM).The core principles of the QFOSM are...This paper introduces a novel approach for parameter sensitivity evaluation and efficient slope reliability analysis based on quantile-based first-order second-moment method(QFOSM).The core principles of the QFOSM are elucidated geometrically from the perspective of expanding ellipsoids.Based on this geometric interpretation,the QFOSM is further extended to estimate sensitivity indices and assess the significance of various uncertain parameters involved in the slope system.The proposed method has the advantage of computational simplicity,akin to the conventional first-order second-moment method(FOSM),while providing estimation accuracy close to that of the first-order reliability method(FORM).Its performance is demonstrated with a numerical example and three slope examples.The results show that the proposed method can efficiently estimate the slope reliability and simultaneously evaluate the sensitivity of the uncertain parameters.The proposed method does not involve complex optimization or iteration required by the FORM.It can provide a valuable complement to the existing approximate reliability analysis methods,offering rapid sensitivity evaluation and slope reliability analysis.展开更多
Copula functions have been widely used in stochastic simulation and prediction of streamflow.However,existing models are usually limited to single two-dimensional or three-dimensional copulas with the same bivariate b...Copula functions have been widely used in stochastic simulation and prediction of streamflow.However,existing models are usually limited to single two-dimensional or three-dimensional copulas with the same bivariate block for all months.To address this limitation,this study developed a mixed D-vine copula-based conditional quantile model that can capture temporal correlations.This model can generate streamflow by selecting different historical streamflow variables as the conditions for different months and by exploiting the conditional quantile functions of streamflows in different months with mixed D-vine copulas.The up-to-down sequential method,which couples the maximum weight approach with the Akaike information criteria and the maximum likelihood approach,was used to determine the structures of multivariate Dvine copulas.The developed model was used in a case study to synthesize the monthly streamflow at the Tangnaihai hydrological station,the inflow control station of the Longyangxia Reservoir in the Yellow River Basin.The results showed that the developed model outperformed the commonly used bivariate copula model in terms of the performance in simulating the seasonality and interannual variability of streamflow.This model provides useful information for water-related natural hazard risk assessment and integrated water resources management and utilization.展开更多
Purpose–This study aimed to facilitate a rapid evaluation of track service status and vehicle ride comfort based on car body acceleration.Consequently,a low-cost,data-driven approach was proposed for analyzing speed-...Purpose–This study aimed to facilitate a rapid evaluation of track service status and vehicle ride comfort based on car body acceleration.Consequently,a low-cost,data-driven approach was proposed for analyzing speed-related acceleration limits in metro systems.Design/methodology/approach–A portable sensing terminal was developed to realize easy and efficient detection of car body acceleration.Further,field measurements were performed on a 51.95-km metro line.Data from 272 metro sections were tested as a case study,and a quantile regression method was proposed to fit the control limits of the car body acceleration at different speeds using the measured data.Findings–First,the frequency statistics of the measured data in the speed-acceleration dimension indicated that the car body acceleration was primarily concentrated within the constant speed stage,particularly at speeds of 15.4,18.3,and 20.9 m/s.Second,resampling was performed according to the probability density distribution of car body acceleration for different speed domains to achieve data balance.Finally,combined with the traditional linear relationship between speed and acceleration,the statistical relationships between the speed and car body acceleration under different quantiles were determined.We concluded the lateral/vertical quantiles of 0.8989/0.9895,0.9942/0.997,and 0.9998/0.993 as being excellent,good,and qualified control limits,respectively,for the lateral and vertical acceleration of the car body.In addition,regression lines for the speedrelated acceleration limits at other quantiles(0.5,0.75,2s,and 3s)were obtained.Originality/value–The proposed method is expected to serve as a reference for further studies on speedrelated acceleration limits in rail transit systems.展开更多
In this paper,we introduce the censored composite conditional quantile coefficient(cC-CQC)to rank the relative importance of each predictor in high-dimensional censored regression.The cCCQC takes advantage of all usef...In this paper,we introduce the censored composite conditional quantile coefficient(cC-CQC)to rank the relative importance of each predictor in high-dimensional censored regression.The cCCQC takes advantage of all useful information across quantiles and can detect nonlinear effects including interactions and heterogeneity,effectively.Furthermore,the proposed screening method based on cCCQC is robust to the existence of outliers and enjoys the sure screening property.Simulation results demonstrate that the proposed method performs competitively on survival datasets of high-dimensional predictors,particularly when the variables are highly correlated.展开更多
This paper aims to explore the application of Extreme Value Theory (EVT) in estimating the conditional extreme quantile for time-to-event outcomes by examining the functional relationship between ambulatory blood pres...This paper aims to explore the application of Extreme Value Theory (EVT) in estimating the conditional extreme quantile for time-to-event outcomes by examining the functional relationship between ambulatory blood pressure trajectories and clinical outcomes in stroke patients. The study utilizes EVT to analyze the functional connection between ambulatory blood pressure trajectories and clinical outcomes in a sample of 297 stroke patients. The 24-hour ambulatory blood pressure measurement curves for every 15 minutes are considered, acknowledging a censored rate of 40%. The findings reveal that the sample mean excess function exhibits a positive gradient above a specific threshold, confirming the heavy-tailed distribution of data in stroke patients with a positive extreme value index. Consequently, the estimated conditional extreme quantile indicates that stroke patients with higher blood pressure measurements face an elevated risk of recurrent stroke occurrence at an early stage. This research contributes to the understanding of the relationship between ambulatory blood pressure and recurrent stroke, providing valuable insights for clinical considerations and potential interventions in stroke management.展开更多
In the context of the rapidly growing demand for green investments and the need to combat climate change,this study contributes to the emerging literature on green investments by exploring the time-frequency connected...In the context of the rapidly growing demand for green investments and the need to combat climate change,this study contributes to the emerging literature on green investments by exploring the time-frequency connectedness between green bonds(GBs)and green equities.Specifically,we examine the degree of connection between GBs and green equities,the extent to which these markets influence each other,and which one is the primary net transmitter versus the net receiver of shocks under diverse market conditions.To accomplish these objectives,we use the wavelet-based Quantile-on-Quantile(QQ),dynamic conditional correlation(DCC),portfolio implications,and Quantile VAR approaches.The results show that GBs and green equities have a strong positive connection,depending on time and frequency domains.However,a negative association between GBs and green equities is observed during periods of crisis,highlighting GBs’ability to hedge green equity portfolios.The portfolio strategies demonstrate that investors require to invest in the Green Economy equity and S&P GB portfolio to reach the highest level of hedging effectiveness.The findings further imply that the Global Water Equity Index transmits the highest spillover to other green assets,while the Green Economy Equity Index receives the most spillover from other assets.The pairwise volatility connectivity reveals that most pairs have minimal quantile dependence,indicating the potential for diversification across the GB and green equity pairs.These findings have significant implications for investors and policymakers concerned with green investments and climate change mitigation.展开更多
Value at risk(VaR)and expected shortfall(ES)have emerged as standard measures for detecting the market risk of financial assets and play essential roles in investment decisions,external regulations,and risk capital al...Value at risk(VaR)and expected shortfall(ES)have emerged as standard measures for detecting the market risk of financial assets and play essential roles in investment decisions,external regulations,and risk capital allocation.However,existing VaR estimation approaches fail to accurately reflect downside risks,and the ES estimation technique is quite limited owing to its challenging implementation.This causes financial institutions to overestimate or underestimate investment risk and finally leads to the inefficient allocation of financial resources.The main purpose of this study is to use machine learning to improve the accuracy of VaR estimation and provide an effective tool for ES estimation.Specifically,this study proposes a VaR estimator by combining quantile regression with“Mogrifier”recurrent neural networks to capture the“long memory”and“clustering”properties of financial assets;while for estimating ES,this study directly models the quantile of assets and employs generative adversarial networks to generate future tail risk scenarios.In addition to the typical properties of financial assets,the model design is also consistent with heterogeneous market theory.An empirical application to four major global stock indices shows that our model is superior to other existing models.展开更多
There is a substantial body of empirical research that has found the fund return distributions to exhibit pronounced peakiness, heavy tails, and skewness, deviating from a normal distribution. Addressing the limitatio...There is a substantial body of empirical research that has found the fund return distributions to exhibit pronounced peakiness, heavy tails, and skewness, deviating from a normal distribution. Addressing the limitations of the traditional Sharpe ratio, which assumes a normal distribution of returns and uses standard deviation to measure investment risk, this paper primarily employs the Value at Risk (VaR) based on Lp quantile to adjust excess returns of funds. This method offers superior robustness, is capable of capturing asymmetry and heavy-tailed characteristics, and is more flexible, providing a better description of the tail risk in fund returns. Empirical studies have shown that using the Sharpe ratio corrected with the Lp quantile is feasible for evaluating and ranking the performance of open-end funds.展开更多
Analyzing the interdependencies among financial institutions is critical for designing systemic risk monitoring mechanisms;however,most existing research focuses on the first moment of the return distribution,which fa...Analyzing the interdependencies among financial institutions is critical for designing systemic risk monitoring mechanisms;however,most existing research focuses on the first moment of the return distribution,which falls into the conventional models of choice under risk.Previous literature has observed the scarcity of investors’attention and processing power,which makes the traditional theory of choice under risk more vulnerable and brings the salience theory that accommodates investors’cognitive limitations to our attention.Motivated by evidence of salience theory value(STV)containing unique information not captured by traditional higher-order moments,we employ a quantile connectedness approach to examine the STV interconnectedness of China’s systemically important banks(C-SIBs).The quantile approach allows us to uncover the dynamic STV interconnectedness of C-SIBs under normal,bearish,and bullish market conditions and is well-suited to extreme risk problems.Our results show that the C-SIBs system is asymmetrically interconnected across quantiles and at higher levels under bullish than bearish market conditions.Principally,a bank’s performance in the C-SIBs system depends on its systemic importance and market conditions.Furthermore,the comparative analysis indicates that STV could provide more information than higher-order moments in capturing the dynamic change in the C-SIBs system and detecting some market events more precisely.These results have important implications for policymakers and market participants to formulate regulatory policy and design risk management strategies.展开更多
A number of recent studies have examined trends in extreme temperature indices using a linear regression model based on ordinary least-squares. In this study, quantile regression was, for the first time, applied to ex...A number of recent studies have examined trends in extreme temperature indices using a linear regression model based on ordinary least-squares. In this study, quantile regression was, for the first time, applied to examine the trends not only in the mean but also in all parts of the distribution of several extreme temperature indices in China for the period 1960–2008. For China as a whole, the slopes in almost all the quantiles of the distribution showed a notable increase in the numbers of warm days and warm nights, and a significant decrease in the number of cool nights. These changes became much faster as the quantile increased. However, although the number of cool days exhibited a significant decrease in the mean trend estimated by classical linear regression, there was no obvious trend in the upper and lower quantiles. This finding suggests that examining the trends in different parts of the distribution of the time-series is of great importance. The spatial distribution of the trend in the 90 th quantile indicated that there was a pronounced increase in the numbers of warm days and warm nights, and a decrease in the number of cool nights for most of China, but especially in the northern and western parts of China, while there was no significant change for the number of cool days at almost all the stations.展开更多
The freshness and quality indices of whiting (Merlangius merlangus) influenced by a large number of chemical volatile compounds, are here analyzed in order to select the most relevant compounds as predictors for these...The freshness and quality indices of whiting (Merlangius merlangus) influenced by a large number of chemical volatile compounds, are here analyzed in order to select the most relevant compounds as predictors for these indices. The selection process was performed by means of recent statistical variable selection methods, namely robust model-free feature screening, based on quantile correlation and composite quantile correlation. On the one hand, compounds 2-Methyl-1-butanol, 3-Methyl-1-butanol, Ethanol, Trimethylamine, 3-Methyl butanal, 2-Methyl-1-propanol, Ethylacetate, 1-Butanol and 2,3-Butanedione were identified as major predictors for the freshness index and on the other hand, compounds 3-Methyl-1-butanol, 2-Methyl-1- butanol, Ethanol, 3-Methyl butanal, 3-Hydroxy-2-butanone, 1-Butanol, 2,3-Butane- dione, 3-Pentanol, 3-Pentanone and 2-Methyl-1-propanol were identified as major predictors for the quality index.展开更多
This paper studies how the price movements of pork,chicken and egg respond to those of related cost factors in short terms in Chinese market.We employ a linear quantile approach not only to explore potential data hete...This paper studies how the price movements of pork,chicken and egg respond to those of related cost factors in short terms in Chinese market.We employ a linear quantile approach not only to explore potential data heteroscedasticity but also to generate confidence bands for the purpose of price stability study.We then evaluate our models by comparing the prediction intervals generated from the quantile regression models with in-sample and out-of-sample forecasts.Using monthly data from January 2000 to October 2010,we observed these findings：（i） the price changes of cost factors asymmetrically and unequally influence those of the livestock across different quantiles;（ii） the performance of our models is robust and consistent for both in-sample and out-of-sample forecasts;（iii） the confidence intervals generated from 0.05th and 0.95th quantile regression models are good methods to forecast livestock price fluctuation.展开更多
Classic maximum entropy quantile function method （CMEQFM） based on the probability weighted moments （PWMs） can accurately estimate the quantile function of random variable on small samples, but inaccurately on the...Classic maximum entropy quantile function method （CMEQFM） based on the probability weighted moments （PWMs） can accurately estimate the quantile function of random variable on small samples, but inaccurately on the very small samples. To overcome this weakness, least square maximum entropy quantile function method （LSMEQFM） and that with constraint condition （LSMEQFMCC） are proposed. To improve the confidence level of quantile function estimation, scatter factor method is combined with maximum entropy method to estimate the confidence interval of quantile function. From the comparisons of these methods about two common probability distributions and one engineering application, it is showed that CMEQFM can estimate the quantile function accurately on the small samples but inaccurately on the very small samples （10 samples）; LSMEQFM and LSMEQFMCC can be successfully applied to the very small samples; with consideration of the constraint condition on quantile function, LSMEQFMCC is more stable and computationally accurate than LSMEQFM; scatter factor confidence interval estimation method based on LSMEQFM or LSMEQFMCC has good estimation accuracy on the confidence interval of quantile function, and that based on LSMEQFMCC is the most stable and accurate method on the very small samples （10 samples）.展开更多
The aim of this study is to examine the extreme return spillovers among the US stock market sectors in the light of the COVID-19 outbreak.To this end,we extend the now-traditional Diebold-Yilmaz spillover index to the...The aim of this study is to examine the extreme return spillovers among the US stock market sectors in the light of the COVID-19 outbreak.To this end,we extend the now-traditional Diebold-Yilmaz spillover index to the quantiles domain by building networks of generalized forecast error variance decomposition of a quantile vector autoregressive model specifically for extreme returns.Notably,we control for common movements by using the overall stock market index as a common factor for all sectors and uncover the effect of the COVID-19 outbreak on the dynamics of the network.The results show that the network structure and spillovers differ considerably with respect to the market state.During stable times,the network shows a nice sectoral clustering structure which,however,changes dramatically for both adverse and beneficial market conditions constituting a highly connected network structure.The pandemic period itself shows an interesting restructuring of the network as the dominant clusters become more tightly connected while the rest of the network remains well separated.The sectoral topology thus has not collapsed into a unified market during the pandemic.展开更多
基金Supported by the Natural Science Foundation of Fujian Province(2022J011177,2024J01903)the Key Project of Fujian Provincial Education Department(JZ230054)。
文摘In clinical research,subgroup analysis can help identify patient groups that respond better or worse to specific treatments,improve therapeutic effect and safety,and is of great significance in precision medicine.This article considers subgroup analysis methods for longitudinal data containing multiple covariates and biomarkers.We divide subgroups based on whether a linear combination of these biomarkers exceeds a predetermined threshold,and assess the heterogeneity of treatment effects across subgroups using the interaction between subgroups and exposure variables.Quantile regression is used to better characterize the global distribution of the response variable and sparsity penalties are imposed to achieve variable selection of covariates and biomarkers.The effectiveness of our proposed methodology for both variable selection and parameter estimation is verified through random simulations.Finally,we demonstrate the application of this method by analyzing data from the PA.3 trial,further illustrating the practicality of the method proposed in this paper.
基金supported by the Young Scientists Fund of the National Key R&D Program of China(No.2022YFD2201800)the Youth Science Fund Program of National Natural Science Foundation of China(No.32301581)+2 种基金the Joint Funds for Regional Innovation and Development of the National Natural Science Foundation of China(No.U21A20244)the China Postdoctoral Science Foundation(No.2024M750383)the Heilongjiang Touyan Innovation Team Program(Technology Development Team for High-Efficiency Silviculture of Forest Resources).
文摘Branch size is a crucial characteristic,closely linked to both tree growth and wood quality.A review of existing branch size models reveals various approaches,but the ability to estimate branch diameter and length within the same whorl remains underexplored.In this study,a total of 77 trees were sampled from Northeast China to model the vertical distribution of branch diameter and length within each whorl along the crown.Several commonly used functions were taken as the alternative model forms,and the quantile regression method was employed and compared with the classical two-step modeling approach.The analysis incorporated stand,tree,and competition factors,with a particular focus on how these factors influence branches of varying sizes.The modified Weibull function was chosen as the optimal model,due to its excellent performance across all quantiles.Eight quantile regression curves(ranging from 0.20 to 0.85)were combined to predict branch diameter,while seven curves(ranging from 0.20 to 0.80)were used for branch length.The results showed that the quantile regression method outperformed the classical approach at model fitting and validation,likely due to its ability to estimate different rates of change across the entire branch size distribution.Lager branches in each whorl were more sensitive to changes in DBH,crown length(CL),crown ratio(CR)and dominant tree height(H_(dom)),while slenderness(HDR)more effectively influenced small and medium-sized branches.The effect of stand basal area(BAS)was relatively consistent across different branch sizes.The findings indicate that quantile regression is a good way not only a more accurate method for predicting branch size but also a valuable tool for understanding how branch growth responds to stand and tree factors.The models developed in this study are prepared to be further integrated into tree growth and yield simulation system,contributing to the assessment and promotion of wood quality.
文摘As extremely important methods, Lp regression methods have attracted the attention of either theoretical or empirical researchers all over the world. As special cases of that, quantile and expectile regression (with p = 1 and p = 2, respectively) are well acquainted with. In contrast with them, general Lp regression (with p equals 1 and 2) has recently been found to have many unexpected properties by some studies, especially when 1 p Lp quantile regression under various p settings and shows some recent advances in Lp quantile regression, theoretically and empirically.
基金supported by the National Natural Science Foundation of China (Project No.42375192)the China Meteorological Administration Climate Change Special Program (CMA-CCSP+1 种基金Project No.QBZ202315)support by the Vector Stiftung through the Young Investigator Group"Artificial Intelligence for Probabilistic Weather Forecasting."
文摘Despite the maturity of ensemble numerical weather prediction(NWP),the resulting forecasts are still,more often than not,under-dispersed.As such,forecast calibration tools have become popular.Among those tools,quantile regression(QR)is highly competitive in terms of both flexibility and predictive performance.Nevertheless,a long-standing problem of QR is quantile crossing,which greatly limits the interpretability of QR-calibrated forecasts.On this point,this study proposes a non-crossing quantile regression neural network(NCQRNN),for calibrating ensemble NWP forecasts into a set of reliable quantile forecasts without crossing.The overarching design principle of NCQRNN is to add on top of the conventional QRNN structure another hidden layer,which imposes a non-decreasing mapping between the combined output from nodes of the last hidden layer to the nodes of the output layer,through a triangular weight matrix with positive entries.The empirical part of the work considers a solar irradiance case study,in which four years of ensemble irradiance forecasts at seven locations,issued by the European Centre for Medium-Range Weather Forecasts,are calibrated via NCQRNN,as well as via an eclectic mix of benchmarking models,ranging from the naïve climatology to the state-of-the-art deep-learning and other non-crossing models.Formal and stringent forecast verification suggests that the forecasts post-processed via NCQRNN attain the maximum sharpness subject to calibration,amongst all competitors.Furthermore,the proposed conception to resolve quantile crossing is remarkably simple yet general,and thus has broad applicability as it can be integrated with many shallow-and deep-learning-based neural networks.
基金supported by the National Natural Science Foundation of China(Grant Nos.52109144,52025094 and 52222905).
文摘This paper introduces a novel approach for parameter sensitivity evaluation and efficient slope reliability analysis based on quantile-based first-order second-moment method(QFOSM).The core principles of the QFOSM are elucidated geometrically from the perspective of expanding ellipsoids.Based on this geometric interpretation,the QFOSM is further extended to estimate sensitivity indices and assess the significance of various uncertain parameters involved in the slope system.The proposed method has the advantage of computational simplicity,akin to the conventional first-order second-moment method(FOSM),while providing estimation accuracy close to that of the first-order reliability method(FORM).Its performance is demonstrated with a numerical example and three slope examples.The results show that the proposed method can efficiently estimate the slope reliability and simultaneously evaluate the sensitivity of the uncertain parameters.The proposed method does not involve complex optimization or iteration required by the FORM.It can provide a valuable complement to the existing approximate reliability analysis methods,offering rapid sensitivity evaluation and slope reliability analysis.
基金supported by the National Natural Science Foundation of China(Grant No.52109010)the Postdoctoral Science Foundation of China(Grant No.2021M701047)the China National Postdoctoral Program for Innovative Talents(Grant No.BX20200113).
文摘Copula functions have been widely used in stochastic simulation and prediction of streamflow.However,existing models are usually limited to single two-dimensional or three-dimensional copulas with the same bivariate block for all months.To address this limitation,this study developed a mixed D-vine copula-based conditional quantile model that can capture temporal correlations.This model can generate streamflow by selecting different historical streamflow variables as the conditions for different months and by exploiting the conditional quantile functions of streamflows in different months with mixed D-vine copulas.The up-to-down sequential method,which couples the maximum weight approach with the Akaike information criteria and the maximum likelihood approach,was used to determine the structures of multivariate Dvine copulas.The developed model was used in a case study to synthesize the monthly streamflow at the Tangnaihai hydrological station,the inflow control station of the Longyangxia Reservoir in the Yellow River Basin.The results showed that the developed model outperformed the commonly used bivariate copula model in terms of the performance in simulating the seasonality and interannual variability of streamflow.This model provides useful information for water-related natural hazard risk assessment and integrated water resources management and utilization.
基金the National Natural Science Foundation of China(NSFC)under No.52308473the National KeyR&DProgram under No.2022YFB2603301the China Postdoctoral Science Foundation funded project(Certificate Number:2023M743895).
文摘Purpose–This study aimed to facilitate a rapid evaluation of track service status and vehicle ride comfort based on car body acceleration.Consequently,a low-cost,data-driven approach was proposed for analyzing speed-related acceleration limits in metro systems.Design/methodology/approach–A portable sensing terminal was developed to realize easy and efficient detection of car body acceleration.Further,field measurements were performed on a 51.95-km metro line.Data from 272 metro sections were tested as a case study,and a quantile regression method was proposed to fit the control limits of the car body acceleration at different speeds using the measured data.Findings–First,the frequency statistics of the measured data in the speed-acceleration dimension indicated that the car body acceleration was primarily concentrated within the constant speed stage,particularly at speeds of 15.4,18.3,and 20.9 m/s.Second,resampling was performed according to the probability density distribution of car body acceleration for different speed domains to achieve data balance.Finally,combined with the traditional linear relationship between speed and acceleration,the statistical relationships between the speed and car body acceleration under different quantiles were determined.We concluded the lateral/vertical quantiles of 0.8989/0.9895,0.9942/0.997,and 0.9998/0.993 as being excellent,good,and qualified control limits,respectively,for the lateral and vertical acceleration of the car body.In addition,regression lines for the speedrelated acceleration limits at other quantiles(0.5,0.75,2s,and 3s)were obtained.Originality/value–The proposed method is expected to serve as a reference for further studies on speedrelated acceleration limits in rail transit systems.
基金Outstanding Youth Foundation of Hunan Provincial Department of Education(Grant No.22B0911)。
文摘In this paper,we introduce the censored composite conditional quantile coefficient(cC-CQC)to rank the relative importance of each predictor in high-dimensional censored regression.The cCCQC takes advantage of all useful information across quantiles and can detect nonlinear effects including interactions and heterogeneity,effectively.Furthermore,the proposed screening method based on cCCQC is robust to the existence of outliers and enjoys the sure screening property.Simulation results demonstrate that the proposed method performs competitively on survival datasets of high-dimensional predictors,particularly when the variables are highly correlated.
文摘This paper aims to explore the application of Extreme Value Theory (EVT) in estimating the conditional extreme quantile for time-to-event outcomes by examining the functional relationship between ambulatory blood pressure trajectories and clinical outcomes in stroke patients. The study utilizes EVT to analyze the functional connection between ambulatory blood pressure trajectories and clinical outcomes in a sample of 297 stroke patients. The 24-hour ambulatory blood pressure measurement curves for every 15 minutes are considered, acknowledging a censored rate of 40%. The findings reveal that the sample mean excess function exhibits a positive gradient above a specific threshold, confirming the heavy-tailed distribution of data in stroke patients with a positive extreme value index. Consequently, the estimated conditional extreme quantile indicates that stroke patients with higher blood pressure measurements face an elevated risk of recurrent stroke occurrence at an early stage. This research contributes to the understanding of the relationship between ambulatory blood pressure and recurrent stroke, providing valuable insights for clinical considerations and potential interventions in stroke management.
基金supported by the Ministry of Education of the Republic of Korea and the National Research Foundation of Korea(NRF-2022S1A5A2A01038422).
文摘In the context of the rapidly growing demand for green investments and the need to combat climate change,this study contributes to the emerging literature on green investments by exploring the time-frequency connectedness between green bonds(GBs)and green equities.Specifically,we examine the degree of connection between GBs and green equities,the extent to which these markets influence each other,and which one is the primary net transmitter versus the net receiver of shocks under diverse market conditions.To accomplish these objectives,we use the wavelet-based Quantile-on-Quantile(QQ),dynamic conditional correlation(DCC),portfolio implications,and Quantile VAR approaches.The results show that GBs and green equities have a strong positive connection,depending on time and frequency domains.However,a negative association between GBs and green equities is observed during periods of crisis,highlighting GBs’ability to hedge green equity portfolios.The portfolio strategies demonstrate that investors require to invest in the Green Economy equity and S&P GB portfolio to reach the highest level of hedging effectiveness.The findings further imply that the Global Water Equity Index transmits the highest spillover to other green assets,while the Green Economy Equity Index receives the most spillover from other assets.The pairwise volatility connectivity reveals that most pairs have minimal quantile dependence,indicating the potential for diversification across the GB and green equity pairs.These findings have significant implications for investors and policymakers concerned with green investments and climate change mitigation.
基金supported by the Jiangxi Provincial Natural Science Foundation(20212ACB211003)the National Natural Science Foundation of China(No.71671029).
文摘Value at risk(VaR)and expected shortfall(ES)have emerged as standard measures for detecting the market risk of financial assets and play essential roles in investment decisions,external regulations,and risk capital allocation.However,existing VaR estimation approaches fail to accurately reflect downside risks,and the ES estimation technique is quite limited owing to its challenging implementation.This causes financial institutions to overestimate or underestimate investment risk and finally leads to the inefficient allocation of financial resources.The main purpose of this study is to use machine learning to improve the accuracy of VaR estimation and provide an effective tool for ES estimation.Specifically,this study proposes a VaR estimator by combining quantile regression with“Mogrifier”recurrent neural networks to capture the“long memory”and“clustering”properties of financial assets;while for estimating ES,this study directly models the quantile of assets and employs generative adversarial networks to generate future tail risk scenarios.In addition to the typical properties of financial assets,the model design is also consistent with heterogeneous market theory.An empirical application to four major global stock indices shows that our model is superior to other existing models.
文摘There is a substantial body of empirical research that has found the fund return distributions to exhibit pronounced peakiness, heavy tails, and skewness, deviating from a normal distribution. Addressing the limitations of the traditional Sharpe ratio, which assumes a normal distribution of returns and uses standard deviation to measure investment risk, this paper primarily employs the Value at Risk (VaR) based on Lp quantile to adjust excess returns of funds. This method offers superior robustness, is capable of capturing asymmetry and heavy-tailed characteristics, and is more flexible, providing a better description of the tail risk in fund returns. Empirical studies have shown that using the Sharpe ratio corrected with the Lp quantile is feasible for evaluating and ranking the performance of open-end funds.
文摘Analyzing the interdependencies among financial institutions is critical for designing systemic risk monitoring mechanisms;however,most existing research focuses on the first moment of the return distribution,which falls into the conventional models of choice under risk.Previous literature has observed the scarcity of investors’attention and processing power,which makes the traditional theory of choice under risk more vulnerable and brings the salience theory that accommodates investors’cognitive limitations to our attention.Motivated by evidence of salience theory value(STV)containing unique information not captured by traditional higher-order moments,we employ a quantile connectedness approach to examine the STV interconnectedness of China’s systemically important banks(C-SIBs).The quantile approach allows us to uncover the dynamic STV interconnectedness of C-SIBs under normal,bearish,and bullish market conditions and is well-suited to extreme risk problems.Our results show that the C-SIBs system is asymmetrically interconnected across quantiles and at higher levels under bullish than bearish market conditions.Principally,a bank’s performance in the C-SIBs system depends on its systemic importance and market conditions.Furthermore,the comparative analysis indicates that STV could provide more information than higher-order moments in capturing the dynamic change in the C-SIBs system and detecting some market events more precisely.These results have important implications for policymakers and market participants to formulate regulatory policy and design risk management strategies.
基金sponsored by the National Basic Research Program of China (973 Program, Grant No. 2012CB956203)the Knowledge Innovation Project of the Chinese Academy of Sciences (Grant No. KZCX2-EW-202)the Strategic Priority Research Program of the Chinese Academy of Sciences (Grant No. XDA05090100)
文摘A number of recent studies have examined trends in extreme temperature indices using a linear regression model based on ordinary least-squares. In this study, quantile regression was, for the first time, applied to examine the trends not only in the mean but also in all parts of the distribution of several extreme temperature indices in China for the period 1960–2008. For China as a whole, the slopes in almost all the quantiles of the distribution showed a notable increase in the numbers of warm days and warm nights, and a significant decrease in the number of cool nights. These changes became much faster as the quantile increased. However, although the number of cool days exhibited a significant decrease in the mean trend estimated by classical linear regression, there was no obvious trend in the upper and lower quantiles. This finding suggests that examining the trends in different parts of the distribution of the time-series is of great importance. The spatial distribution of the trend in the 90 th quantile indicated that there was a pronounced increase in the numbers of warm days and warm nights, and a decrease in the number of cool nights for most of China, but especially in the northern and western parts of China, while there was no significant change for the number of cool days at almost all the stations.
文摘The freshness and quality indices of whiting (Merlangius merlangus) influenced by a large number of chemical volatile compounds, are here analyzed in order to select the most relevant compounds as predictors for these indices. The selection process was performed by means of recent statistical variable selection methods, namely robust model-free feature screening, based on quantile correlation and composite quantile correlation. On the one hand, compounds 2-Methyl-1-butanol, 3-Methyl-1-butanol, Ethanol, Trimethylamine, 3-Methyl butanal, 2-Methyl-1-propanol, Ethylacetate, 1-Butanol and 2,3-Butanedione were identified as major predictors for the freshness index and on the other hand, compounds 3-Methyl-1-butanol, 2-Methyl-1- butanol, Ethanol, 3-Methyl butanal, 3-Hydroxy-2-butanone, 1-Butanol, 2,3-Butane- dione, 3-Pentanol, 3-Pentanone and 2-Methyl-1-propanol were identified as major predictors for the quality index.
基金supported by the Key Project of National Key Technology R&D Program of China(2009BADA9B01)
文摘This paper studies how the price movements of pork,chicken and egg respond to those of related cost factors in short terms in Chinese market.We employ a linear quantile approach not only to explore potential data heteroscedasticity but also to generate confidence bands for the purpose of price stability study.We then evaluate our models by comparing the prediction intervals generated from the quantile regression models with in-sample and out-of-sample forecasts.Using monthly data from January 2000 to October 2010,we observed these findings：（i） the price changes of cost factors asymmetrically and unequally influence those of the livestock across different quantiles;（ii） the performance of our models is robust and consistent for both in-sample and out-of-sample forecasts;（iii） the confidence intervals generated from 0.05th and 0.95th quantile regression models are good methods to forecast livestock price fluctuation.
文摘Classic maximum entropy quantile function method （CMEQFM） based on the probability weighted moments （PWMs） can accurately estimate the quantile function of random variable on small samples, but inaccurately on the very small samples. To overcome this weakness, least square maximum entropy quantile function method （LSMEQFM） and that with constraint condition （LSMEQFMCC） are proposed. To improve the confidence level of quantile function estimation, scatter factor method is combined with maximum entropy method to estimate the confidence interval of quantile function. From the comparisons of these methods about two common probability distributions and one engineering application, it is showed that CMEQFM can estimate the quantile function accurately on the small samples but inaccurately on the very small samples （10 samples）; LSMEQFM and LSMEQFMCC can be successfully applied to the very small samples; with consideration of the constraint condition on quantile function, LSMEQFMCC is more stable and computationally accurate than LSMEQFM; scatter factor confidence interval estimation method based on LSMEQFM or LSMEQFMCC has good estimation accuracy on the confidence interval of quantile function, and that based on LSMEQFMCC is the most stable and accurate method on the very small samples （10 samples）.
基金Ladislav Kristoufek gratefully acknowledges financial support of the Czech Science Foundation(project 20-17295S)the Charles University PRIMUS program(project PRIMUS/19/HUM/17).
文摘The aim of this study is to examine the extreme return spillovers among the US stock market sectors in the light of the COVID-19 outbreak.To this end,we extend the now-traditional Diebold-Yilmaz spillover index to the quantiles domain by building networks of generalized forecast error variance decomposition of a quantile vector autoregressive model specifically for extreme returns.Notably,we control for common movements by using the overall stock market index as a common factor for all sectors and uncover the effect of the COVID-19 outbreak on the dynamics of the network.The results show that the network structure and spillovers differ considerably with respect to the market state.During stable times,the network shows a nice sectoral clustering structure which,however,changes dramatically for both adverse and beneficial market conditions constituting a highly connected network structure.The pandemic period itself shows an interesting restructuring of the network as the dominant clusters become more tightly connected while the rest of the network remains well separated.The sectoral topology thus has not collapsed into a unified market during the pandemic.
