Elliptical multiple-output quantile regression and convex optimization

0458243 - ÚTIA 2017 RIV NL eng J - Journal Article
Hallin, M. - Šiman, Miroslav
Elliptical multiple-output quantile regression and convex optimization.
Statistics & Probability Letters. Roč. 109, č. 1 (2016), s. 232-237. ISSN 0167-7152. E-ISSN 1879-2103
R&D Projects: GA ČR GA14-07234S
Institutional support: RVO:67985556
Keywords : quantile regression * elliptical quantile * multivariate quantile * multiple-output regression
Subject RIV: BA - General Mathematics
Impact factor: 0.540, year: 2016
http://library.utia.cas.cz/separaty/2016/SI/siman-0458243.pdf

This article extends linear quantile regression to an elliptical multiple-output regression setup. The definition of the proposed concept leads to a convex optimization problem. Its elementary properties, and the consistency of its sample counterpart, are investigated. An empirical application is provided.
Permanent Link: http://hdl.handle.net/11104/0258934