Local bilinear multiple-output quantile/depth regression
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Abstract: A new quantile regression concept, based on a directional version of Koenker and Bassett's traditional single-output one, has been introduced in [Ann. Statist. (2010) 38 635-669] for multiple-output location/linear regression problems. The polyhedral contours provided by the empirical counterpart of that concept, however, cannot adapt to unknown nonlinear and/or heteroskedastic dependencies. This paper therefore introduces local constant and local linear (actually, bilinear) versions of those contours, which both allow to asymptotically recover the conditional halfspace depth contours that completely characterize the response's conditional distributions. Bahadur representation and asymptotic normality results are established. Illustrations are provided both on simulated and real data.
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Cites work
- scientific article; zbMATH DE number 991833 (Why is no real title available?)
- scientific article; zbMATH DE number 5629277 (Why is no real title available?)
- scientific article; zbMATH DE number 720755 (Why is no real title available?)
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Cited in
(14)- On elliptical quantiles in the quantile regression setup
- Elliptical multiple-output quantile regression and convex optimization
- Distribution and quantile functions, ranks and signs in dimension \(d\): a measure transportation approach
- Multivariate quantiles and multiple-output regression quantiles: from \(L_{1}\) optimization to halfspace depth
- On generalized elliptical quantiles in the nonlinear quantile regression setup
- Discussion of ``Local quantile regression
- Regularity of center-outward distribution functions in non-convex domains
- Choosing among notions of multivariate depth statistics
- A Bayesian Approach to Multiple-Output Quantile Regression
- Multiple-output quantile regression through optimal quantization
- Noncrossing structured additive multiple-output Bayesian quantile regression models
- On weighted and locally polynomial directional quantile regression
- Multiple-output quantile regression neural network
- Rejoinder
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