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Journal Article

Parametric Elliptical Regression Quantiles

Hlubinka D., Šiman Miroslav

: Revstat Statistical Journal vol.18, 3 (2020), p. 257-280

: GA17-07384S, GA ČR, GA14-07234S, GA ČR

: multiple-output regression, quantile regression, nonlinear regression, elliptical quantile

: http://library.utia.cas.cz/separaty/2018/SI/siman-0493763.pdf


(eng): The article extends linear and nonlinear quantile regression to the case of vector responses by generalizing multivariate elliptical quantiles to a regression context. In particular, it introduces parametric elliptical quantile regression in a general nonlinear multivariate heteroscedastic framework and discusses, investigates, and illustrates the new method in some detail, including basic properties, various parametrizations, possible heteroscedastic patterns, related computational issues, model validation, and a real biometric data example. The method seems suitable for multi-response regression models with symmetric errors, especially if the dimension of responses is less than ten and if the right parametrization of the model follows from the context.

: BA

: 10101