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Inequality constrained quantile regression: Working paper series--03-08

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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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)
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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