Quantile Regression With Python

Gopi Subramanian discusses one of my favorite regression concepts, heteroskedasticity:

With variance score of 0.43 linear regression did not do a good job overall. When the x values are close to 0, linear regression is giving a good estimate of y, but we near end of x values the predicted y is far way from the actual values and hence becomes completely meaningless.

Here is where Quantile Regression comes to rescue. I have used the python package statsmodels 0.8.0 for Quantile Regression.

Let us begin with finding the regression coefficients for the conditioned median, 0.5 quantile.

The article doesn’t render the code very well at all, but Gopi does have the example code on Github, so you can follow along that way.

Related Posts

Calculating AUC in R

Andrew Treadway shows how you can calculate Area Under the Curve in R: AUC is an important metric in machine learning for classification. It is often used as a measure of a model’s performance. In effect, AUC is a measure between 0 and 1 of a model’s performance that rank-orders predictions from a model. For […]

Read More

Python versus R (Again)

Alex Woodie looks at whether Python is dominating R in the data science space: There is some evidence that Python’s popularity is hurting R usage. According to the TIOBE Index, Python is currently the third most popular language in the world, behind perennial heavyweights Java and C. From August 2018 to August 2019, Python usage surged […]

Read More

Categories

June 2017
MTWTFSS
« May Jul »
 1234
567891011
12131415161718
19202122232425
2627282930