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On directional multiple-output quantile regression
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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, ORCIDNumber of authors 2 Source Title Journal of Multivariate Analysis. - : Elsevier - ISSN 0047-259X
Roč. 102, č. 2 (2011), s. 193-212Number 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
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