On multivariate quantile regression analysis |
| |
Authors: | Jean-Paul Chavas |
| |
Institution: | 1.Agricultural and Applied Economics, Taylor Hall,University of Wisconsin,Madison,USA |
| |
Abstract: | 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. |
| |
Keywords: | |
本文献已被 SpringerLink 等数据库收录! |
|