Asymmetric Error Distributions Research Articles

Wind Power Curve Modeling With Large-Scale Generalized Kernel-Based Regression Model

Accurate wind power curves (WPCs) are crucial for wind energy development and utilization, e.g., wind power forecasting and wind turbine condition monitoring. In the era of big data, large-scale datasets make the training of power curve models inefficient, especially for kernel-based models. Furthermore, most models do not take into account the error characteristics of WPC modeling. In this study, a large-scale generalized kernel-based regression model is proposed to solve the above problem. First, a generalized loss function, which can model both symmetric and asymmetric error distributions, is designed for model training. Then, the Nyström technique is employed to get the approximate kernel matrix, based on which an eigenvalue-based kernel regression framework is constructed. Next, a large-scale generalized kernel-based regression model is developed with model parameters tuned using the alternating direction method of multipliers. Before WPC modeling, a three-step data processing method based on isolation forest is designed to process missing data, irrational data, and outliers in the collected data. The WPC modeling results on four large-scale wind datasets demonstrate that the proposed model generates accurate WPCs with high efficiency. Furthermore, the effect of turbulence intensity on WPC modeling and the effectiveness of LSGKRM with multivariate inputs are also verified.

Real-time changepoint detection in a nonlinear expectile model

An online changepoint detection procedure based on conditional expectiles is introduced. The key contribution is threefold: nonlinearity of the underlying model improves the overall flexibility while a parametric form of the unknown regression function preserves a simple and straightforward interpretation; The conditional expectiles, well-known in econometrics for being the only coherent and elicitable risk measure, introduce additional robustness—especially with respect to asymmetric error distributions common in various types of data; The proposed statistical test is proved to be consistent and the distribution under the null hypothesis does not depend on the functional form of the underlying model nor the unknown parameters. Empirical properties of the proposed real-time changepoint detection test are investigated in a simulation study and a practical applicability is illustrated using the Covid-19 prevalence data from Prague.

Robust Procedure for Change-Point Estimation Using Quantile Regression Model with Asymmetric Laplace Distribution

The usual mean change-point detecting method based on normal linear regression is not robust to heavy-tailed data with potential outlying points. We propose a robust change-point estimation procedure based on a quantile regression model with asymmetric Laplace error distribution and develop a non-iterative sampling algorithm from a Bayesian perspective. The algorithm can generate independently and identically distributed samples approximately from the posterior distribution of the position of the change-point, which can be used for statistical inferences straightforwardly. The procedure combines the robustness of quantile regression and the computational efficiency of the non-iterative sampling algorithm. A simulation study is conducted to illustrate the performance of the procedure with satisfying findings, and finally, real data is analyzed to show the usefulness of the algorithm by comparison with the usual change-point detection method based on normal regression.

Active power control strategy for wind farms based on power prediction errors distribution considering regional data.

One of the renewable energy resources, wind energy is widely used due to its wide distribution, large reserves, green and clean energy, and it is also an important part of large-scale grid integration. However, wind power has strong randomness, volatility, anti-peaking characteristics, and the problem of low wind power prediction accuracy, which brings serious challenges to the power system. Based on the difference of power prediction error and confidence interval between different new energy power stations, an optimal control strategy for active power of wind farms was proposed. Therefore, we focus on solving the problem of wind power forecasting and improving the accuracy of wind power prediction. Due to the prediction error of wind power generation, the power control cannot meet the control target. An optimal control strategy for active power of wind farms is proposed based on the difference in power prediction error and confidence interval between different new energy power stations. The strategy used historical data to evaluate the prediction error distribution and confidence interval of wind power. We use confidence interval constraints to create a wind power active optimization model that realize active power distribution and complementary prediction errors among wind farms with asymmetric error distribution. Combined with the actual data of a domestic (Cox’s Bazar, Bangladesh) wind power base, a simulation example is designed to verify the rationality and effectiveness of the proposed strategy.

Bayesian P-Splines Quantile Regression of Partially Linear Varying Coefficient Spatial Autoregressive Models

This paper deals with spatial data that can be modelled by partially linear varying coefficient spatial autoregressive models with Bayesian P-splines quantile regression. We evaluate the linear and nonlinear effects of covariates on the response and use quantile regression to present comprehensive information at different quantiles. We not only propose an empirical Bayesian approach of quantile regression using the asymmetric Laplace error distribution and employ P-splines to approximate nonparametric components but also develop an efficient Markov chain Monte Carlo technique to explore the joint posterior distributions of unknown parameters. Monte Carlo simulations show that our estimators not only have robustness for different spatial weight matrices but also perform better compared with quantile regression and instrumental variable quantile regression estimators in finite samples at different quantiles. Finally, a set of Sydney real estate data applications is analysed to illustrate the performance of the proposed method.

Parsimonious asymmetric item response theory modeling with the complementary log-log link.

Traditional item response theory (IRT) models assume a symmetric error distribution and rely on symmetric (logit or probit) link functions to model the response probabilities. As an alternative, we investigated the one-parameter complementary log-log model (CLLM), which is founded on an asymmetric error distribution and results in an asymmetric item response function with important psychometric properties. In a series of simulation studies, we demonstrate that the CLLM (a) is estimable in small sample sizes, (b) facilitates item-weighted scoring, and (c) accounts for the effect of guessing, despite the presence of a single parameter. We then provide further evidence for these claims by applying the CLLM to empirical data. Finally, we discuss how this work contributes to the growing psychometric literature on model complexity.

Asymmetric Correntropy for Robust Adaptive Filtering

In recent years, correntropy has been successfully applied to robust adaptive filtering to eliminate adverse effects of impulsive noises or outliers. Correntropy is generally defined as the expectation of a Gaussian kernel between two random variables. This definition is reasonable when the error between the two random variables is symmetrically distributed around zero. For the case of asymmetric error distribution, the symmetric Gaussian kernel is however inappropriate and cannot adapt to the error distribution well. To address this problem, in this brief we propose a new variant of correntropy, named asymmetric correntropy, which uses an asymmetric Gaussian model as the kernel function. In addition, a robust adaptive filtering algorithm based on asymmetric correntropy is developed and its steady-state convergence performance is analyzed. Simulations are provided to confirm the theoretical results and good performance of the proposed algorithm.

A Comparison of Autometrics and Penalization Techniques under Various Error Distributions: Evidence from Monte Carlo Simulation

This work compares Autometrics with dual penalization techniques such as minimax concave penalty (MCP) and smoothly clipped absolute deviation (SCAD) under asymmetric error distributions such as exponential, gamma, and Frechet with varying sample sizes as well as predictors. Comprehensive simulations, based on a wide variety of scenarios, reveal that the methods considered show improved performance for increased sample size. In the case of low multicollinearity, these methods show good performance in terms of potency, but in gauge, shrinkage methods collapse, and higher gauge leads to overspecification of the models. High levels of multicollinearity adversely affect the performance of Autometrics. In contrast, shrinkage methods are robust in presence of high multicollinearity in terms of potency, but they tend to select a massive set of irrelevant variables. Moreover, we find that expanding the data mitigates the adverse impact of high multicollinearity on Autometrics rapidly and gradually corrects the gauge of shrinkage methods. For empirical application, we take the gold prices data spanning from 1981 to 2020. While comparing the forecasting performance of all selected methods, we divide the data into two parts: data over 1981–2010 are taken as training data, and those over 2011–2020 are used as testing data. All methods are trained for the training data and then are assessed for performance through the testing data. Based on a root-mean-square error and mean absolute error, Autometrics remain the best in capturing the gold prices trend and producing better forecasts than MCP and SCAD.

Optimal trimming proportion in regression analysis for non-normal distributions

ABSTRACT Regression analysis is a widely used modelling tool in business decision making. However, proper application of this methodology requires that certain assumptions, associated with the model, be satisfied. The assumption we focus on is the normality of the response variable, which is directly related to the assumption of normality of the error component. In a variety of fields in business, such as finance, marketing, information systems, operations, and healthcare, the selected dependent variable does not inherently have a normal distribution. In the regression context, where the model parameters and independent variables are assumed to be constant, the distribution of the random error component thus influences the distribution of the dependent variable. Here, we study the impact of symmetric and asymmetric error distributions on the performance of the estimated model parameters. To create robust estimates, through a process of trimming the response variable, we study the effectiveness of the trimmed estimators with respect to the ordinary least squares estimator (OLS) via a simulation procedure. Accordingly, to minimise the ratio of the mean squared error of the trimmed estimator to that of the OLS, a recommendation is developed for the optimal trimming proportion.

Modelling and forecasting stock volatility and return: a new approach based on quantile Rogers–Satchell volatility measure with asymmetric bilinear CARR model

Abstract This paper proposes quantile Rogers–Satchell (QRS) measure to ensure robustness to intraday extreme prices. We add an efficient term to correct the downward bias of Rogers–Satchell (RS) measure and provide scaling factors for different interquantile range levels to ensure unbiasedness of QRS. Simulation studies confirm the efficiency of QRS measure relative to the intraday squared returns and RS measures in the presence of extreme prices. To smooth out noises, QRS measures are fitted to the CARR model with different asymmetric mean functions and error distributions. By comparing to two realised volatility measures as proxies for the unobserved true volatility, results from Standard and Poor 500 and Dow Jones Industrial Average indices show that QRS estimates using asymmetric bilinear mean function provide the best in-sample model fit based on two robust loss functions with heavier penalty for under-prediction. These fitted volatilities are then incorporated into return models to capture the heteroskedasticity of returns. Model with a constant mean, Student-t errors and QRS estimates gives the best in-sample fit. Different value-at-risk (VaR) and conditional VaR forecasts are provided based on this best return model. Performance measures including Kupiec test for VaRs are evaluated to confirm the accuracy of the VaR forecasts.

Bayesian panel quantile regression for binary outcomes with correlated random effects: an application on crime recidivism in Canada

This article develops a Bayesian approach for estimating panel quantile regression with binary outcomes in the presence of correlated random effects. We construct a working likelihood using an asymmetric Laplace error distribution and combine it with suitable prior distributions to obtain the complete joint posterior distribution. For posterior inference, we propose two Markov chain Monte Carlo (MCMC) algorithms but prefer the algorithm that exploits the blocking procedure to produce lower autocorrelation in the MCMC draws. We also explain how to use the MCMC draws to calculate the marginal effects, relative risk and odds ratio. The performance of our preferred algorithm is demonstrated in multiple simulation studies and shown to perform extremely well. Furthermore, we implement the proposed framework to study crime recidivism in Quebec, a Canadian Province, using novel data from administrative correctional files. Our results suggest that the recently implemented “tough-on-crime” policy of the Canadian government has been largely successful in reducing the probability of repeat offenses in the post-policy period. Besides, our results support existing findings on crime recidivism and offer new insights at various quantiles.

Do Maternal Health Problems Influence Child's Worrying Status? Evidence from British Cohort Study

The influence of maternal health problems on child's worrying status is important in practice in terms of the intervention of maternal health problems early for the influence on child's worrying status. Conventional methods apply symmetric prior distributions such as a normal distribution or a Laplace distribituion for regression coefficients, which may be suitable for median regression and exhibit no robustness to outliers. This paper develops a quantile regression on linear panel data model without heterogeneity from a Bayesian point of view, and examines the influence of maternal health problems on child's worrying status. Upon a location-scale mixture representation of the asymmetric Laplace error distribution, this paper provides how the posterior distribution can be sampled and summarized by Markov chain Monte Carlo method. Applying for the 1970 British Cohort Study data, we find and that a different maternal health problem has different influence on child's worrying status at different quantiles. In addition, applying stochastic search variable selection for maternal health problems in the 1970 British Cohort Study data, we find that maternal nervous breakdown, in our work, among the 25 maternal health problems, contributes most to influence the child's worrying status.

Bayesian joint quantile regression for mixed effects models with censoring and errors in covariates

In this paper, we discuss Bayesian joint quantile regression of mixed effects models with censored responses and errors in covariates simultaneously using Markov Chain Monte Carlo method. Under the assumption of asymmetric Laplace error distribution, we establish a Bayesian hierarchical model and derive the posterior distributions of all unknown parameters based on Gibbs sampling algorithm. Three cases including multivariate normal distribution and other two heavy-tailed distributions are considered for fitting random effects of the mixed effects models. Finally, some Monte Carlo simulations are performed and the proposed procedure is illustrated by analyzing a group of AIDS clinical data set.

Do maternal health problems influence child's worrying status? Evidence from the British Cohort Study

ABSTRACTConventional methods apply symmetric prior distributions such as a normal distribution or a Laplace distribution for regression coefficients, which may be suitable for median regression and exhibit no robustness to outliers. This work develops a quantile regression on linear panel data model without heterogeneity from a Bayesian point of view, i.e. upon a location-scale mixture representation of the asymmetric Laplace error distribution, and provides how the posterior distribution is summarized using Markov chain Monte Carlo methods. Applying this approach to the 1970 British Cohort Study (BCS) data, it finds that a different maternal health problem has different influence on child's worrying status at different quantiles. In addition, applying stochastic search variable selection for maternal health problems to the 1970 BCS data, it finds that maternal nervous breakdown, among the 25 maternal health problems, contributes most to influence the child's worrying status.

Linear Quantile Regression Based on EM Algorithm

This article aims to put forward a new method to solve the linear quantile regression problems based on EM algorithm using a location-scale mixture of the asymmetric Laplace error distribution. A closed form of the estimator of the unknown parameter vector β based on EM algorithm, is obtained. In addition, some simulations are conducted to illustrate the performance of the proposed method. Simulation results demonstrate that the proposed algorithm performs well. Finally, the classical Engel data is fitted and the Bootstrap confidence intervals for estimators are provided.

Bayesian multivariate GARCH models with dynamic correlations and asymmetric error distributions

The main goal in this paper is to develop and apply stochastic simulation techniques for GARCH models with multivariate skewed distributions using the Bayesian approach. Both parameter estimation and model comparison are not trivial tasks and several approximate and computationally intensive methods (Markov chain Monte Carlo) will be used to this end. We consider a flexible class of multivariate distributions which can model both skewness and heavy tails. Also, we do not fix tail behaviour when dealing with fat tail distributions but leave it subject to inference.

Taylor-series and Monte-Carlo-method uncertainty estimation of the width of a probability distribution based on varying bias and random error

Uncertainties are typically assumed to be constant or a linear function of the measured value; however, this is generally not true. Particle image velocimetry (PIV) is one example of a measurement technique that has highly nonlinear, time varying local uncertainties. Traditional uncertainty methods are not adequate for the estimation of the uncertainty of measurement statistics (mean and variance) in the presence of nonlinear, time varying errors. Propagation of instantaneous uncertainty estimates into measured statistics is performed allowing accurate uncertainty quantification of time-mean and statistics of measurements such as PIV. It is shown that random errors will always elevate the measured variance, and thus turbulent statistics such as . Within this paper, nonlinear, time varying errors are propagated from instantaneous measurements into the measured mean and variance using the Taylor-series method. With these results and knowledge of the systematic and random uncertainty of each measurement, the uncertainty of the time-mean, the variance and covariance can be found. Applicability of the Taylor-series uncertainty equations to time varying systematic and random errors and asymmetric error distributions are demonstrated with Monte-Carlo simulations. The Taylor-series uncertainty estimates are always accurate for uncertainties on the mean quantity. The Taylor-series variance uncertainty is similar to the Monte-Carlo results for cases in which asymmetric random errors exist or the magnitude of the instantaneous variations in the random and systematic errors is near the ‘true’ variance. However, the Taylor-series method overpredicts the uncertainty in the variance as the instantaneous variations of systematic errors are large or are on the same order of magnitude as the ‘true’ variance.

Bayesian Tobit quantile regression model for medical expenditure panel survey data

High expenditure on healthcare is an important segment of the U.S. economy, making healthcare cost modelling valuable in decision-making processes over a wide array of domains. In this paper, we analyze medical expenditure panel survey (MEPS) data. Tobit regression model has been popularly used for the medical expenditures. However, it is no longer sufficient for the MEPS data because: (i) the distribution of the expenditures shows skewness, heavy tails and heterogeneity; (ii) most predictors are categorical, including binary, nominal and ordinal variables; (iii) there are a few predictors which may be nonlinearly related to the response. We therefore propose a Bayesian Tobit quantile regression model to describe a complete distributional view on how the medical expenditures depend on the various predictors. Specifically, we assume an asymmetric Laplace error distribution to adapt the quantile regression to a Bayesian setting. Then, we propose a modified group Lasso for categorical factor selection, and a smoothing Gaussian prior for modelling the nonlinear effects. The estimates and their uncertainties are obtained using an efficient Monte Carlo Markov Chain sampling method. The effectiveness of our approach is demonstrated by modelling 2007 MEPS data.

A conditional variance tale from an emerging economy's freely floating exchange rate

This article studies daily return and volatility dynamics in the exchange rate of an emerging market economy Turkey over the recent floating period. We use Generalized Autoregressive Conditional Heteroscedastic (GARCH) and Fractionally Integrated GARCH (FIGARCH) models with various error distributions. Findings show that a parsimonious FIGARCH model with an asymmetric error distribution characterizes the daily Turkish Lira (TL) returns against US dollar and euro considerably well. We find statistically significant asymmetry and peakedness in conditional returns and time-varying volatility with long-range dependence in conditional volatility. Long memory finding is robust to different specifications for the conditional returns as well as possible shifts in the return and volatility dynamics over sub-periods. Results in the article show that despite the decline in volatility over the course of the recent float, TL returns are still wild compared to developed economies exchange rates during the same period. Findings have implications for exchange rate regime choice, policy and risk management in Turkey and other emerging market economies.

Bayesian analysis of quantile regression for censored dynamic panel data

This paper develops a Bayesian approach to analyzing quantile regression models for censored dynamic panel data. We employ a likelihood-based approach using the asymmetric Laplace error distribution and introduce lagged observed responses into the conditional quantile function. We also deal with the initial conditions problem in dynamic panel data models by introducing correlated random effects into the model. For posterior inference, we propose a Gibbs sampling algorithm based on a location-scale mixture representation of the asymmetric Laplace distribution. It is shown that the mixture representation provides fully tractable conditional posterior densities and considerably simplifies existing estimation procedures for quantile regression models. In addition, we explain how the proposed Gibbs sampler can be utilized for the calculation of marginal likelihood and the modal estimation. Our approach is illustrated with real data on medical expenditures.