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scripts default iconquantreg.m - quantile regression (Scripts) Publisher's description

linear regression is used and the "order" argument is not used

Quantile Regression

USAGE: [p,stats]=quantreg(x,y,tau[,order,nboot]);

x,y: data that is fitted. (x and y should be columns)
Note: that if x is a matrix with several columns then multiple
linear regression is used and the "order" argument is not used.
tau: quantile used in regression.
order: polynomial order. (default=1)
nboot: number of bootstrap surrogates used in statistical inference.(default=200)

stats is a structure with the following fields:
.pse: standard error on p. (not independent)
.pboot: the bootstrapped polynomial coefficients.
.yfitci: 95% confidence interval on polyval(p,x)

Note: uses bootstrap on residuals for statistical inference. (see help bootstrp)
check also: http://www.econ.uiuc.edu/~roger/research/intro/rq.pdf

legend('data','2nd order 90th percentile fit','95% confidence interval','location','best')

For references on the method check e.g. and refs therein:

Copyright (C) 2008, Aslak Grinsted

System Requirements:

MATLAB 7 (R14)
Program Release Status: New Release
Program Install Support: Install and Uninstall

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