However, a relatively new form of quantile regression is neural network quantile regression -- a variation of neural network regression. By using a custom loss function that penalizes low predictions ...

The first involves embedding the quantile regression loss function from the nonparameteric setting into the argument of the kernel of a parametric data likelihood model, this is well known to ...

Our quantile regression implied moments model is subjected to extensive risk model validation by means of backtesting, using both coverage tests and loss functions. Thus, his paper is relevant for ...