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On directional multiple-output quantile regression

SYSNO ASEP	0364128
Document Type	J - Journal Article
R&D Document Type	Journal Article
Subsidiary J	Článek ve WOS
Title	On directional multiple-output quantile regression
Author(s)	Paindaveine, D. (BE) Šiman, Miroslav (UTIA-B)_{RID, ORCID}
Number of authors	2
Source Title	Journal of Multivariate Analysis. - : Elsevier - ISSN 0047-259X Roč. 102, č. 2 (2011), s. 193-212
Number of pages	20 s.
Language	eng - English
Country	US - United States
Keywords	multivariate quantile ; quantile regression ; multiple-output regression ; halfspace depth ; portfolio optimization ; value-at risk
Subject RIV	BA - General Mathematics
R&D Projects	1M06047 GA MŠMT - Ministry of Education, Youth and Sports (MEYS)
CEZ	AV0Z10750506 - UTIA-B (2005-2011)
UT WOS	000284983600001
EID SCOPUS	78649445678
DOI	10.1016/j.jmva.2010.08.004
Annotation	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.
Workplace	Institute of Information Theory and Automation
Contact	Markéta Votavová, votavova@utia.cas.cz, Tel.: 266 052 201.
Year of Publishing	2012

Number of the records: 1