Transformed central quantile subspace

DOI10.1080/02331888.2021.1897984MaRDI QIDQ5004987zbMATH OpenOpenAlexFDO

Authors Eliana Christou

Publication date 4 August 2021

Published in Statistics (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1906.00696

zbMATH Keywords

dimension reductionquantile regressionvalue-at-riskBitcointransformed predictors

Mathematics Subject Classification ID

Nonparametric regression and quantile regression (62G08) Applications of statistics to actuarial sciences and financial mathematics (62P05)

Abstract: Quantile regression (QR) is becoming increasingly popular due to its relevance in many scientific investigations. However, application of QR can become very challenging when dealing with high-dimensional data, making it necessary to use dimension reduction techniques. Existing dimension reduction techniques focus on the entire conditional distribution. We turn our attention to dimension reduction techniques for conditional quantiles and introduce a method that serves as an intermediate step between linear and nonlinear dimension reduction. The idea is to apply existing linear dimension reduction techniques on the transformed predictors. The proposed estimator, which is shown to be root-n consistent, is demonstrated through simulation examples and real data applications. Our results suggest that this method outperforms linear dimension reduction for conditional quantiles.

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Cites work

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• Central quantile subspace
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Cited in

(2)

• Dimension reduction techniques for conditional expectiles
• Central quantile subspace

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