Quantile regression via iterative least squares computations

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8 Citazioni (Scopus)


We present an estimating framework for quantile regression where the usual L1-norm objective function is replaced by its smooth parametric approximation. An exact path-following algorithm is derived, leadingto the well-known ‘basic’ solutions interpolating exactly a number of observations equal to the number ofparameters being estimated. We discuss briefly possible practical implications of the proposed approach, such as early stopping for large data sets, confidence intervals, and additional topics for future research.
Lingua originaleEnglish
pagine (da-a)1557-1569
Numero di pagine0
RivistaJournal of Statistical Computation and Simulation
Stato di pubblicazionePublished - 2012

All Science Journal Classification (ASJC) codes

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  • ???subjectarea.asjc.2600.2611???
  • ???subjectarea.asjc.1800.1804???
  • ???subjectarea.asjc.2600.2604???


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