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On directional multiple-output quantile regression

  1. 1.
    0364128 - ÚTIA 2012 RIV US eng J - Článek v odborném periodiku
    Paindaveine, D. - Šiman, Miroslav
    On directional multiple-output quantile regression.
    Journal of Multivariate Analysis. Roč. 102, č. 2 (2011), s. 193-212. ISSN 0047-259X
    Grant CEP: GA MŠk(CZ) 1M06047
    Grant ostatní:Commision EC(BE) Fonds National de la Recherche Scientifique
    Výzkumný záměr: CEZ:AV0Z10750506
    Klíčová slova: multivariate quantile * quantile regression * multiple-output regression * halfspace depth * portfolio optimization * value-at risk
    Kód oboru RIV: BA - Obecná matematika
    Impakt faktor: 0.879, rok: 2011

    This paper sheds some new light on projection quantiles. It studies the subgradient conditions associated with these quantiles in a general regression context, introduces Lagrange multipliers with rich interpretation, provides another proof that corresponding projection quantile regions coincide with the halfspace depth ones, and shows how this equivalence could be used for exact computation of the latter regions by means of projection quantiles. Furthermore, it demonstrates that the regression quantile regions introduced in Hallin, Paindaveine and Siman (2010) can also be obtained from projection (regression) quantiles, which may lead to a faster computation of those regions in some particular cases.
    Trvalý link: http://hdl.handle.net/11104/0199690
Počet záznamů: 1