Institute of Information Theory and Automation

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Publication details

Parametric Elliptical Regression Quantiles

Journal Article

Hlubinka D., Šiman Miroslav

serial: Revstat Statistical Journal

project(s): GA17-07384S, GA ČR, GA14-07234S, GA ČR

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

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abstract (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.


2012-12-21 16:10