Elliptical multiple-output quantile regression and convex optimization

DOI10.1016/j.spl.2015.11.021zbMath1329.62258OpenAlexW2175330387MaRDI QIDQ899672

Miroslav Šiman, Marc Hallin

Publication date: 30 December 2015

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL: https://dipot.ulb.ac.be/dspace/bitstream/2013/221191/3/2015-47-HALLIN_SIMAN-elliptical.pdf

zbMATH Keywords

quantile regressionmultiple-output regressionmultivariate quantileelliptical quantile

Mathematics Subject Classification ID

Estimation in multivariate analysis (62H12) Nonparametric estimation (62G05) Linear inference, regression (62J99)

Uses Software

• Matlab
• CVX

Cites Work

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• On elliptical quantiles in the quantile regression setup
• A canonical definition of shape
• On generalized elliptical quantiles in the nonlinear quantile regression setup
• Multivariate quantiles and multiple-output regression quantiles: from \(L_{1}\) optimization to halfspace depth
• Local bilinear multiple-output quantile/depth regression
• Graph Implementations for Nonsmooth Convex Programs
• Regression Quantiles
• Asymptotic Statistics

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