Modelling the extreme using quantile regression


Go to NumFOCUS academy page.

Given a student’s grades, what would be a good score in their exam? An econometrician could model the conditional quantiles directly. We’ll show their linear models and how you can implement neural net versions in tensorflow or use xgboost. Even if you never end up fitting a quantile regression, you’ll learn a new metric for evaluating how well you are estimating extreme examples!


Massimiliano Ungheretti