Introduction to the Quantile Regression Model

Image by OpenClipart-Vectors from Pixabay (Pixabay license)

We’ll look at how to predict the median and other quantile points

In a regression model, one is normally interested in estimating the conditional mean of the response variable. For example, consider the following plot of vehicle prices versus number of cylinders:

Price versus number of cylinders. The gold dots represent the conditional mean: E(price|num_of_cylinders) (Image by Author) (Dataset: UCI ML Automobile used under CC BY 4.0)

The gold dots …

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