Parametric Elliptical Regression Quantiles

0493763 - ÚTIA 2021 RIV PT eng J - Článek v odborném periodiku
Hlubinka, D. - Šiman, Miroslav
Parametric Elliptical Regression Quantiles.
Revstat Statistical Journal. Roč. 18, č. 3 (2020), s. 257-280. ISSN 1645-6726
Grant CEP: GA ČR GA17-07384S; GA ČR GA14-07234S
Institucionální podpora: RVO:67985556
Klíčová slova: multiple-output regression * quantile regression * nonlinear regression * elliptical quantile
Obor OECD: Pure mathematics
Impakt faktor: 1.250, rok: 2020
Způsob publikování: Open access
http://library.utia.cas.cz/separaty/2018/SI/siman-0493763.pdf https://www.ine.pt/revstat/pdf/ONPARAMETRICELLIPTICALREGRESSIONQUANTILES.pdf

The article extends linear and nonlinear quantile regression to the case of vector responses by generalizing multivariate elliptical quantiles to a regression context. In particular, it introduces parametric elliptical quantile regression in a general nonlinear multivariate heteroscedastic framework and discusses, investigates, and illustrates the new method in some detail, including basic properties, various parametrizations, possible heteroscedastic patterns, related computational issues, model validation, and a real biometric data example. The method seems suitable for multi-response regression models with symmetric errors, especially if the dimension of responses is less than ten and if the right parametrization of the model follows from the context.
Trvalý link: http://hdl.handle.net/11104/0289349