Počet záznamů: 1
On generalized elliptical quantiles in the nonlinear quantile regression setup
- 1. 0434510 - UTIA-B 2016 RIV US eng J - Článek v odborném periodiku
Hlubinka, D. - Šiman, Miroslav
On generalized elliptical quantiles in the nonlinear quantile regression setup.
Test. Roč. 24, č. 2 (2015), s. 249-264. ISSN 1133-0686
Grant CEP: GA ČR GA14-07234S
Institucionální podpora: RVO:67985556
Klíčová slova: multivariate quantile * elliptical quantile * quantile regression * multivariate statistical inference * portfolio optimization
Kód oboru RIV: BA - Obecná matematika
Impakt faktor: 1.207, rok: 2015
Inspired by nonlinear quantile regression, the article introduces, investigates, discusses, and illustrates a new concept of generalized elliptical location quantiles. They may require less stringent moment assumptions, be less sensitive to outliers, be less rigid, employ more a priori information regarding the location of the distribution, and have higher potential for various regression generalizations than their common elliptical predecessor defined in the convex optimization framework by means of standard linear quantile regression. Furthermore, they still include an equivalent of their predecessor as a special case and inherit most of its favorable features such as the probability interpretation, natural equivariance properties, and good behavior for elliptical and symmetric distributions, which is demonstrated both by theoretical results and data examples with convincing graphical output.
Trvalý link: http://hdl.handle.net/11104/0239351