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Keywords:

  • coefficient of determination;
  • inadequacy index;
  • lack-of-fit measure;
  • local polynomial estimation;
  • non-parametric regression;
  • quantile regression

Abstract.  In regression experiments, to learn about the strength of the relationship between a covariate vector and a dependent variable, we propose a ‘coefficient of determination’ based on the quantiles. Such a coefficient is a ‘local’ measure in the sense that the strength is measured at a prespecified quantile level. Once estimated, it can be used, for example, to measure the relative importance of a subset of covariates in the quantile regression context. Related to this coefficient, we also propose a new ‘local’ lack-of-fit measure of a given parametric model. We provide some asymptotic results of the proposed measures and carry out a Monte Carlo simulation study to illustrate their use and performance in practice.