Autore: Chavas, Jean-Paul
Titolo: On multivariate quantile regression analysis
Periodico: Statistical methods & applications : Journal of the Italian Statistical Society
Anno: 2018 - Volume: 27 - Fascicolo: 3 - Pagina iniziale: 365 - Pagina finale: 384

This paper investigates the estimation of parameters in a multivariate quantile regression model when the investigator wants to evaluate the associated distribution function. It proposes a new directional quantile estimator with the following properties: (1) it applies to an arbitrary number of random variables; (2) it is equivalent to estimating the distribution function allowing for non-convex distribution contours; (3) it satisfies nice equivariance properties; (4) it has desirable statistical properties (i.e., consistency and asymptotic normality); and (5) its implementation involves a modest computational burden: our proposed estimator can be obtained by solving parametric linear programming problems. As such, this paper expands the range of applications of quantile estimation for multivariate regression models.


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SICI: 1618-2510(2018)27:3<365:OMQRA>2.0.ZU;2-B

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