On weighted and locally polynomial directional quantile regression

DOI10.1007/s00180-016-0708-9zbMath1417.62072MaRDI QIDQ2403398

Pavel Boček, Miroslav Šiman

Publication date: 8 September 2017

Published in: Computational Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s00180-016-0708-9

zbMATH Keywords

quantile regression; nonparametric regression; projection pursuit; conditional volatility; multiple-output regression; multivariate quantile

Mathematics Subject Classification ID

62G08: Nonparametric regression and quantile regression

62G20: Asymptotic properties of nonparametric inference

62H05: Characterization and structure theory for multivariate probability distributions; copulas

Related Items

Joint estimation of conditional quantiles in multivariate linear regression models with an application to financial distress

Uses Software

• Matlab
• Octave
• R
• quantreg
• moQuantile

Cites Work

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