Quantile Regression

[tsimb...@gmail.com]

Hi!
How can I produce a b-spline quantile regression?

[Paul Hobson]

That question is too opened-ended for a specific answer. Here are the docs for the quantile regression:

http://www.statsmodels.org/dev/generated/statsmodels.regression.quantile_regression.QuantReg.html

Good luck,

-p

[josef...@gmail.com]

On Fri, Jul 28, 2017 at 7:49 PM, <tsimb...@gmail.com> wrote:

Hi!
How can I produce a b-spline quantile regression?

patsy has splines, so it's possible to use the formula interface and let patsy create the design matrix for splines

http://patsy.readthedocs.io/en/latest/spline-regression.html

The smoothness needs to be chosen by selecting the number of knots, because we don't have penalization for quantile regression.

This works pretty well AFAIR from my tries.

One caveat with quantile regression is that if several quantiles are computed independently, then it is possible that quantiles intersect for some datasets. We currently don't have a way to work around this.

Josef