Inference on multiple quantiles in regression models by a rank-score approach
By: Riccardo De Santis, Anna Vesely, Angela Andreella
Potential Business Impact:
Finds more important patterns in data reliably.
This paper tackles the challenge of performing multiple quantile regressions across different quantile levels and the associated problem of controlling the familywise error rate, an issue that is generally overlooked in practice. We propose a multivariate extension of the rank-score test and embed it within a closed-testing procedure to efficiently account for multiple testing. Theoretical foundations and simulation studies demonstrate that our method effectively controls the familywise error rate while achieving higher power than traditional corrections, such as Bonferroni.
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