Elliptical multiple-output quantile regression and convex optimization

Marc Hallin and Miroslav Šiman

Statistics & Probability Letters, 2016, vol. 109, issue C, 232-237

Abstract: This article extends linear quantile regression to an elliptical multiple-output regression setup. The definition of the proposed concept leads to a convex optimization problem. Its elementary properties, and the consistency of its sample counterpart, are investigated. An empirical application is provided.

Keywords: Quantile regression; Elliptical quantile; Multivariate quantile; Multiple-output regression (search for similar items in EconPapers)
Date: 2016
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Citations: View citations in EconPapers (2)

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Working Paper: Elliptical Multiple Output Quantile Regression and Convex Optimization (2015)
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DOI: 10.1016/j.spl.2015.11.021

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