| bibtype |
J -
Journal Article
|
| ARLID |
0364128 |
| utime |
20250213151359.4 |
| mtime |
20110920235959.9 |
| WOS |
000284983600001 |
| SCOPUS |
78649445678 |
| DOI |
10.1016/j.jmva.2010.08.004 |
| title
(primary) (eng) |
On directional multiple-output quantile regression |
| specification |
|
| serial |
| ARLID |
cav_un_epca*0257044 |
| ISSN |
0047-259X |
| title
|
Journal of Multivariate Analysis |
| volume_id |
102 |
| volume |
2 (2011) |
| page_num |
193-212 |
| publisher |
|
|
| keyword |
multivariate quantile |
| keyword |
quantile regression |
| keyword |
multiple-output regression |
| keyword |
halfspace depth |
| keyword |
portfolio optimization |
| keyword |
value-at risk |
| author
(primary) |
| ARLID |
cav_un_auth*0274302 |
| name1 |
Paindaveine |
| name2 |
D. |
| country |
BE |
|
| author
|
| ARLID |
cav_un_auth*0266474 |
| name1 |
Šiman |
| name2 |
Miroslav |
| full_dept (cz) |
Stochastická informatika |
| full_dept |
Department of Stochastic Informatics |
| department (cz) |
SI |
| department |
SI |
| institution |
UTIA-B |
| full_dept |
Department of Stochastic Informatics |
| fullinstit |
Ústav teorie informace a automatizace AV ČR, v. v. i. |
|
| source |
|
| cas_special |
| project |
| project_id |
1M06047 |
| agency |
GA MŠk |
| country |
CZ |
| ARLID |
cav_un_auth*0217941 |
|
| project |
| project_id |
Fonds National de la Recherche Scientifique |
| agency |
Commision EC |
| country |
BE |
|
| research |
CEZ:AV0Z10750506 |
| abstract
(eng) |
This paper sheds some new light on projection quantiles. It studies the subgradient conditions associated with these quantiles in a general regression context, introduces Lagrange multipliers with rich interpretation, provides another proof that corresponding projection quantile regions coincide with the halfspace depth ones, and shows how this equivalence could be used for exact computation of the latter regions by means of projection quantiles. Furthermore, it demonstrates that the regression quantile regions introduced in Hallin, Paindaveine and Siman (2010) can also be obtained from projection (regression) quantiles, which may lead to a faster computation of those regions in some particular cases. |
| reportyear |
2012 |
| RIV |
BA |
| num_of_auth |
2 |
| mrcbC52 |
4 A 4a 20231122134646.5 |
| permalink |
http://hdl.handle.net/11104/0199690 |
| mrcbT16-e |
STATISTICSPROBABILITY |
| mrcbT16-f |
1.088 |
| mrcbT16-g |
0.193 |
| mrcbT16-h |
8 |
| mrcbT16-i |
0.01376 |
| mrcbT16-j |
1.032 |
| mrcbT16-k |
2282 |
| mrcbT16-l |
109 |
| mrcbT16-s |
1.677 |
| mrcbT16-4 |
Q1 |
| mrcbT16-B |
63.142 |
| mrcbT16-C |
51.293 |
| mrcbT16-D |
Q2 |
| mrcbT16-E |
Q1 |
| arlyear |
2011 |
| mrcbTft |
\nSoubory v repozitáři: siman-0364128.pdf |
| mrcbU14 |
78649445678 SCOPUS |
| mrcbU34 |
000284983600001 WOS |
| mrcbU63 |
cav_un_epca*0257044 Journal of Multivariate Analysis 0047-259X 1095-7243 Roč. 102 č. 2 2011 193 212 Elsevier |
|