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Elliptical multiple-output quantile regression and convex optimization

par Hallin, Marc ;Šiman, Miroslav
Référence Statistics & probability letters, 109, page (232-237)
Publication Publié, 2016-02

Article révisé par les pairs

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Résumé :

This article extends linear quantile regression to an elliptical multiple-output regression setup. The definition of the proposed concept leads to a convex optimization problem. Its elementary properties, and the consistency of its sample counterpart, are investigated. An empirical application is provided.