On generalized elliptical quantiles in the nonlinear quantile regression setup

0434510 - ÚTIA 2016 RIV US eng J - Journal Article
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. E-ISSN 1863-8260
R&D Projects: GA ČR GA14-07234S
Institutional support: RVO:67985556
Keywords : multivariate quantile * elliptical quantile * quantile regression * multivariate statistical inference * portfolio optimization
Subject RIV: BA - General Mathematics
Impact factor: 1.207, year: 2015
http://library.utia.cas.cz/separaty/2014/SI/siman-0434510.pdf

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.
Permanent Link: http://hdl.handle.net/11104/0239351