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On directional multiple-output quantile regression

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    0364128 - ÚTIA 2012 RIV US eng J - Journal Article
    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
    R&D Projects: GA MŠk(CZ) 1M06047
    Grant - others:Commision EC(BE) Fonds National de la Recherche Scientifique
    Institutional research plan: CEZ:AV0Z10750506
    Keywords : multivariate quantile * quantile regression * multiple-output regression * halfspace depth * portfolio optimization * value-at risk
    Subject RIV: BA - General Mathematics
    Impact factor: 0.879, year: 2011
    http://library.utia.cas.cz/separaty/2011/SI/siman-0364128.pdf

    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.
    Permanent Link: http://hdl.handle.net/11104/0199690
     
Number of the records: 1