quantreg(x,y,tau,or​der,Nboot)

Quantile regression with bootstrapping confidence intervals
5.9K Downloads
Updated 16 Mar 2015

View License

Quantile Regression

USAGE: [p,stats]=quantreg(x,y,tau[,order,nboot]);

INPUTS:
x,y: data that is fitted. (x and y should be columns)
Note: that if x is a matrix with several columns then multiple
linear regression is used and the "order" argument is not used.
tau: quantile used in regression.
order: polynomial order. (default=1)
nboot: number of bootstrap surrogates used in statistical inference.(default=200)

stats is a structure with the following fields:
.pse: standard error on p. (not independent)
.pboot: the bootstrapped polynomial coefficients.
.yfitci: 95% confidence interval on polyval(p,x)


Note: uses bootstrap on residuals for statistical inference. (see help bootstrp)
check also: http://www.econ.uiuc.edu/~roger/research/intro/rq.pdf

EXAMPLE:
x=(1:1000)';
y=randn(size(x)).*(1+x/300)+(x/300).^2;
[p,stats]=quantreg(x,y,.9,2);
plot(x,y,x,polyval(p,x),x,stats.yfitci,'k:')
legend('data','2nd order 90th percentile fit','95% confidence interval','location','best')

For references on the method check e.g. and refs therein:
http://www.econ.uiuc.edu/~roger/research/rq/QRJEP.pdf

Copyright (C) 2008, Aslak Grinsted

Cite As

Aslak Grinsted (2024). quantreg(x,y,tau,order,Nboot) (https://www.mathworks.com/matlabcentral/fileexchange/32115-quantreg-x-y-tau-order-nboot), MATLAB Central File Exchange. Retrieved .

MATLAB Release Compatibility
Created with R14
Compatible with any release
Platform Compatibility
Windows macOS Linux
Acknowledgements

Inspired: Non-crossing polynomial quantile regression

Community Treasure Hunt

Find the treasures in MATLAB Central and discover how the community can help you!

Start Hunting!
Version Published Release Notes
1.3.0.0

implemented suggested change from Simeon Yurek in a FEX comment

1.2.0.0

Fixed another small bug.

1.1.0.0

Fixed a few issues with input parameter parsing.

1.0.0.0