Table 1.
No NL |
NL |
|||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|
Quantile | Variable | Method | Bias | MSE | Cov. | ECL | Power | Bias | MSE | Cov. | ECL | Power |
0.25 | Variable 1 | Portnoy | 0.00 | 0.04 | 0.97 | 0.83 | 1.00 | 0.17 | 0.70 | 0.95 | 3.26 | 0.28 |
PH | 0.01 | 0.04 | 0.97 | 0.83 | 1.00 | −0.04 | 0.67 | 0.96 | 3.24 | 0.21 | ||
TW | −0.06 | 0.04 | 0.96 | 0.81 | 1.00 | 0.01 | 0.59 | 0.96 | 3.09 | 0.25 | ||
Variable 2 | Portnoy | 0.01 | 0.06 | 0.96 | 0.99 | 1.00 | −0.20 | 0.28 | 0.96 | 2.10 | 1.00 | |
PH | −0.01 | 0.06 | 0.96 | 0.99 | 1.00 | −0.26 | 0.31 | 0.95 | 2.13 | 1.00 | ||
TW | 0.10 | 0.06 | 0.95 | 0.97 | 1.00 | 0.06 | 0.21 | 0.97 | 2.02 | 1.00 | ||
0.5 | Variable 1 | Portnoy | 0.01 | 0.03 | 0.96 | 0.71 | 1.00 | 0.10 | 0.52 | 0.95 | 2.85 | 0.34 |
PH | 0.00 | 0.03 | 0.96 | 0.72 | 1.00 | −0.08 | 0.54 | 0.95 | 2.90 | 0.23 | ||
TW | −0.01 | 0.03 | 0.97 | 0.71 | 1.00 | 0.04 | 0.52 | 0.96 | 2.90 | 0.31 | ||
Variable 2 | Portnoy | 0.00 | 0.04 | 0.96 | 0.82 | 1.00 | −0.13 | 0.15 | 0.95 | 1.56 | 1.00 | |
PH | 0.00 | 0.04 | 0.97 | 0.84 | 1.00 | −0.15 | 0.16 | 0.95 | 1.62 | 1.00 | ||
TW | 0.02 | 0.04 | 0.97 | 0.84 | 1.00 | −0.03 | 0.13 | 0.97 | 1.60 | 1.00 |