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On generalized elliptical quantiles in the nonlinear quantile regression setup
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SYSNO ASEP 0434510 Druh ASEP J - Článek v odborném periodiku Zařazení RIV J - Článek v odborném periodiku Poddruh J Článek ve WOS Název On generalized elliptical quantiles in the nonlinear quantile regression setup Tvůrce(i) Hlubinka, D. (CZ)
Šiman, Miroslav (UTIA-B) RID, ORCIDZdroj.dok. Test - ISSN 1133-0686
Roč. 24, č. 2 (2015), s. 249-264Poč.str. 16 s. Forma vydání Tištěná - P Jazyk dok. eng - angličtina Země vyd. US - Spojené státy americké Klíč. slova multivariate quantile ; elliptical quantile ; quantile regression ; multivariate statistical inference ; portfolio optimization Vědní obor RIV BA - Obecná matematika CEP GA14-07234S GA ČR - Grantová agentura ČR Institucionální podpora UTIA-B - RVO:67985556 UT WOS 000354714100004 EID SCOPUS 84908291355 DOI 10.1007/s11749-014-0405-3 Anotace 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. Pracoviště Ústav teorie informace a automatizace Kontakt Markéta Votavová, votavova@utia.cas.cz, Tel.: 266 052 201. Rok sběru 2016
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