On elliptical quantiles in the quantile regression setup

Authors:
Daniel Hlubinka;Miroslav ŠIman
Affiliations:
Department of Probability and Mathematical Statistics, Faculty of Mathematics and Physics, Charles University in Prague, Sokolovská 83, CZ-186 75 Prague 8, Czech Republic;Institute of Information Theory and Automation of the ASCR, Pod Vodárenskou ví 4, CZ-182 08 Prague 8, Czech Republic
Venue:
Journal of Multivariate Analysis
Year:
2013

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Abstract

This article defines a meaningful concept of elliptical location quantile with the aid of quantile regression, discusses its basic properties, and suggests its extension to a general regression framework through a locally constant nonparametric approach.