Bibliography

Journal Article

Elliptical multiple-output quantile regression and convex optimization

: Statistics & Probability Letters vol.109, 1 (2016), p. 232-237

: quantile regression, elliptical quantile, multivariate quantile, multiple-output regression

: 10.1016/j.spl.2015.11.021

: http://library.utia.cas.cz/separaty/2016/SI/siman-0458243.pdf

(eng): 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.

: BA