Koenker, Roger and Ng, Pin (2003) Inequality constrained quantile regression: Working paper series--03-08. Working Paper. NAU W.A. Franke College of Business.
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Publisher’s or external URL: http://franke.nau.edu/the_working_paper_series/wps...
Abstract
An algorithm for computing parametric linear quantile regression estimates subject to linear inequality constraints is described. The algorithm is a variant of the interior point algorithm described in Koenker and Portnoy (1997) for unconstrained quantile regression and is consequently quite efficient even for large problems, particularly when the inherent sparsity of the resulting linear algebra is exploited. Applications to qualitatively constrained nonparametric regression are described in the final section.
Item Type: | Monograph (Working Paper) |
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Publisher’s Statement: | Copyright, where appropriate, is held by the author. |
ID number or DOI: | 03-08 |
Keywords: | Working paper, quantile regression, linear inequality |
Subjects: | Q Science > QA Mathematics |
NAU Depositing Author Academic Status: | Faculty/Staff |
Department/Unit: | The W.A. Franke College of Business |
Date Deposited: | 19 Oct 2015 23:33 |
URI: | http://openknowledge.nau.edu/id/eprint/1594 |
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