so i'm on a project using quantile regression. I want to use 5 tau for the regression:
- Median (τ = 0.5): This corresponds to the 50th percentile and is often used to estimate the central tendency of the distribution.
- Lower quantiles (e.g., τ = 0.25, 0.1): These are used to estimate conditional quantiles below the median and are useful for understanding the lower tail of the distribution.
- Upper quantiles (e.g., τ = 0.75, 0.9): These are used to estimate conditional quantiles above the median and are useful for understanding the upper tail of the distribution. Does anyone have the supporting theory to use these 5 tau? Book or journal might be great. Thank you!
I don't find any supporting theory yet