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Multiscale Exploratory Analysis of Regression Quantiles Using Quantile SiZer

Cheolwoo Park, Thomas C. M. Lee and Jan Hannig
Journal of Computational and Graphical Statistics
Vol. 19, No. 3 (September 2010), pp. 497-513
Stable URL: http://www.jstor.org/stable/25765355
Page Count: 17
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Multiscale Exploratory Analysis of Regression Quantiles Using Quantile SiZer
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Abstract

The SiZer methodology proposed by Chaudhuri and Marron (1999) is a valuable tool for conducting exploratory data analysis. Since its inception different versions of SiZer have been proposed in the literature. Most of these SiZer variants are targeting the mean structure of the data, and are incapable of providing any information about the quantile composition of the data. To fill this need, this article proposes a quantile version of SiZer for the regression setting. By inspecting the SiZer maps produced by this new SiZer, real quantile structures hidden in a dataset can be more effectively revealed, while at the same time spurious features can be filtered out. The utility of this quantile SiZer is illustrated via applications to both real data and simulated examples. This article has supplementary material online.

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