On directional multiple-output quantile regression

DOI10.1016/j.jmva.2010.08.004zbMath1328.62311OpenAlexW2049915260MaRDI QIDQ618143

Davy Paindaveine, Miroslav Šiman

Publication date: 14 January 2011

Published in: Journal of Multivariate Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jmva.2010.08.004

zbMATH Keywords

halfspace depthquantile regressionportfolio optimizationvalue-at-riskmultiple-output regressionmultivariate quantile

Mathematics Subject Classification ID

Related Items (24)

Reduced form vector directional quantiles ⋮ Finite sample breakdown point of Tukey's halfspace median ⋮ Exactly computing bivariate projection depth contours and median ⋮ Marginal M-quantile regression for multivariate dependent data ⋮ Multivariate quantiles and multiple-output regression quantiles: from \(L_{1}\) optimization to halfspace depth ⋮ Estimating impulse-response functions for macroeconomic models using directional quantiles ⋮ On weighted and locally polynomial directional quantile regression ⋮ Some results on the computing of Tukey's halfspace median ⋮ On elliptical quantiles in the quantile regression setup ⋮ Computing projection depth and its associated estimators ⋮ The sparse method of simulated quantiles: An application to portfolio optimization ⋮ Computing multiple-output regression quantile regions ⋮ Rejoinder ⋮ Computing Halfspace Depth and Regression Depth ⋮ Multivariate Process Capability Indices: A Directional Approach ⋮ The limit of finite sample breakdown point of Tukey's halfspace median for general data ⋮ Computing multiple-output regression quantile regions from projection quantiles ⋮ Testing axial symmetry by means of directional regression quantiles ⋮ Precision Index in the Multivariate Context ⋮ On Exact Computation of Some Statistics Based on Projection Pursuit in a General Regression Context ⋮ Fast Computation of Tukey Trimmed Regions and Median in Dimension p > 2 ⋮ Multivariate Quantile Impulse Response Functions ⋮ On generalized elliptical quantiles in the nonlinear quantile regression setup ⋮ Computing halfspace depth contours based on the idea of a circular sequence

Uses Software

• quantreg
• MPT

Cites Work

• Shortfall as a risk measure: properties, optimization and applications
• Breakdown properties of location estimates based on halfspace depth and projected outlyingness
• \(M\)-estimation, convexity and quantiles
• Multivariate analysis by data depth: Descriptive statistics, graphics and inference. (With discussions and rejoinder)
• General notions of statistical depth function.
• On multivariate quantile regression
• Multivariate quantiles and multiple-output regression quantiles: from \(L_{1}\) optimization to halfspace depth
• Computing multiple-output regression quantile regions from projection quantiles
• On a Geometric Notion of Quantiles for Multivariate Data
• An Approach to Multivariate Covariate-Dependent Quantile Contours With Application to Bivariate Conditional Growth Charts
• Measures of centrality for multivariate and directional distributions
• Regression Quantiles
• Quantile functions for multivariate analysis: approaches and applications
• Regression Depth
• VALUE-AT-RISK AND EXPECTED SHORTFALL FOR LINEAR PORTFOLIOS WITH ELLIPTICALLY DISTRIBUTED RISK FACTORS
• Rejoinder
• The depth function of a population distribution.
• Discussion
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