CHAPTER 9

Conclusion

Much of the early history of social statistics, strongly influenced by Quetelet,

can be viewed as a search for the “average man” – that improbable man without
qualities who could be comfortable with his feet in the ice chest and his hands
in the oven. Some of this obsession can be attributed to the seductive appeal of
the Gaussian law of errors. Everyone, as Poincaré famously quipped, believes
in the normal law of errors: the theorists because they believe it is an empirical
fact, and the empiricists because they believe that it is a mathematical theorem.
Once in the grip of this Gaussian faith, it suffices to learn about means. But
sufficiency, despite all its mathematical elegance, should be tempered by a
skeptical empiricism: a willingness to peer occasionally outside the cathedral
of mathematics and see the world in all its diversity.
There have been many prominent statistical voices who, like Galton, reveled
in the heterogeneity of statistical life – who resisted proposals to throw the
mountains of Switzerland into its lakes. Edgeworth (1920) mocked excessive
reliance on “reasoning with the aid of the gens d’arme’s hat – from which,
as from the conjuror’s, so much can be extracted.” Models for the conditional
mean in which independently and identically distributed Gaussian “errors” are
tacked on almost as an afterthought are rife throughout the realms of science.
They are indispensable approximations in many settings. We have argued that it
is sometimes useful to deconstruct these models, complementing the estimation
of models for the conditional mean with estimates of a family of conditional
quantile functions.
Under the idealized conditions of the textbook linear regression model, this
step is quite superfluous. The conditional quantile functions all line up nicely
parallel to one another and spaced according to the well-tabulated curve of the
gens d’armes hat. If, however – and we have seen that this is not unusual – the
quantile functions portray a less-regimented picture, then a deeper view into
the data is revealed. Conditioning covariates may well shift the location, the
central tendency, of the distribution of the response variable, but they may also
alter its scale or change its entire shape.
Quantile regression is intended to explore these possibilities. Gradually it is
evolving into comprehensive approach to estimation and inference for models of

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 294 Quantile Regression

conditional quantile functions. Linear and nonlinear parametric models as well

as a variety of nonparametric models have been explored. By supplementing
the exclusive focus of least-squares-based methods on estimation and inference
about conditional means, quantile regression offers a view beyond the average
man – a way to explore the sources of heterogeneity in statistical relationships.
Having struggled with these ideas for nearly 30 years, it is very gratifying
to find that they are gradually making their way into empirical applications
across a wide range of scientific disciplines. There are still many unsettled
questions and much unexplored territory. Completing the regression picture is
an ambitious undertaking, one that can only be brought to fruition with the
help of many hands. In the summer of 1959, L. J. Savage spoke to the Joint
Statistics Seminar of Birkbeck and Imperial Colleges on the application of
subjective probability in statistics. Savage’s talk and the ensuing discussion
constitute a fascinating snapshot of statistical thinking of that time. D. R. Cox
(1962) concluded his contribution to the formal discussion by saying:
A final general comment is that the discussion above is of the question of how
to reach conclusions about parameters in a model on which we are agreed. It
seems to me, however, that a more important matter is how to formulate more
realistic models that will enable scientifically more searching questions to be
asked of data. (p. 53)

I would like to think that quantile regression could contribute to this important
objective.

https://doi.org/10.1017/CBO9780511754098.010 Published online by Cambridge University Press