Computing multiple-output regression quantile regions
AbstractA procedure relying on linear programming techniques is developed to compute (regression) quantile regions that have been defined recently. In the location case, this procedure allows for computing halfspace depth regions even beyond dimension two. The corresponding algorithm is described in detail, and illustrations are provided both for simulated and real data. The efficiency of a Matlab implementation of the algorithm11The code can be downloaded from http://homepages.ulb.ac.be/~dpaindav. is also investigated through extensive simulations.
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Bibliographic InfoArticle provided by Elsevier in its journal Computational Statistics & Data Analysis.
Volume (Year): 56 (2012)
Issue (Month): 4 ()
Contact details of provider:
Web page: http://www.elsevier.com/locate/csda
Halfspace depth; Multiple-output regression; Parametric linear programming; Quantile regression;
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