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ENH: diagnostics for quantile regression and generic #9180

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josef-pkt opened this issue Mar 26, 2024 · 0 comments
Open

ENH: diagnostics for quantile regression and generic #9180

josef-pkt opened this issue Mar 26, 2024 · 0 comments

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@josef-pkt
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josef-pkt commented Mar 26, 2024

I'm again trying out some simulated examples for quantile regression.

We should get some basic diagnostic plots for it.

general diagnostic based on variable addition Wald test, e.g. linearity tests
Variable addition Wald tests are easy to compute by user, but maybe we can have some automatic, e.g. against spline alternatives, reset test (with power of linpred)

Example:
variance is quadratic in linear predictor in DGP, but we estimate quantile regression linear in variables

plt.plot(fitted, fitted - y, "o")
plt.plot(fitted, np.zeros(len(fitted)))

image

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