Support vector machine quantile regression approach for functional data: Simulation and application studies

  • Authors:
  • Christophe Crambes;Ali Gannoun;Yousri Henchiri

  • Affiliations:
  • -;-;-

  • Venue:
  • Journal of Multivariate Analysis
  • Year:
  • 2013

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Abstract

The topic of this paper is related to quantile regression when the covariate is a function. The estimator we are interested in, based on the Support Vector Machine method, was introduced in Crambes et al. (2011) [11]. We improve the results obtained in this former paper, giving a rate of convergence in probability of the estimator. In addition, we give a practical method to construct the estimator, solution of a penalized L^1-type minimization problem, using an Iterative Reweighted Least Squares procedure. We evaluate the performance of the estimator in practice through simulations and a real data set study.