Computing multiple-output regression quantile regions

Davy Paindaveine and Miroslav Šiman

Computational Statistics & Data Analysis, 2012, vol. 56, issue 4, 840-853

Abstract: A procedure relying on linear programming techniques is developed to compute (regression) quantile regions that have been defined recently. In the location case, this procedure allows for computing halfspace depth regions even beyond dimension two. The corresponding algorithm is described in detail, and illustrations are provided both for simulated and real data. The efficiency of a Matlab implementation of the algorithm11The code can be downloaded from http://homepages.ulb.ac.be/~dpaindav. is also investigated through extensive simulations.

Keywords: Halfspace depth; Multiple-output regression; Parametric linear programming; Quantile regression (search for similar items in EconPapers)
Date: 2012
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Citations: View citations in EconPapers (31)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:csdana:v:56:y:2012:i:4:p:840-853

DOI: 10.1016/j.csda.2010.11.014

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