Elliptical multiple-output quantile regression and convex optimization
Marc Hallin () and
Statistics & Probability Letters, 2016, vol. 109, issue C, 232-237
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)
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Working Paper: Elliptical Multiple Output Quantile Regression and Convex Optimization (2015)
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Persistent link: https://EconPapers.repec.org/RePEc:eee:stapro:v:109:y:2016:i:c:p:232-237
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