Cálculo de los estimadores de regresión cuantílica lineal por medio del método ACCPM

Translated title of the contribution: Calculus of the estimators of linear quantile regression by the method ACCPM

Héctor Andrés López, Héctor Manuel Mora

Research output: Contribution to journalArticlepeer-review

3 Scopus citations

Abstract

The present work shows how to calculate the estimators in quantile regression by nondifferentiable optimization method ACCPM (Analytic Center Cutting Plane Method). The calculus of the estimators is usually found by linear programming and its respective techniques of solution (Simplex method, interior point methods, etc.). The first part presents some generalities of quantile regression and its formulation as a linear programming problem. Also, a brief description of the ACCPM method is made. Finally, it is shown the application of the ACCPM method for the calculation of the estimators by quantiles and the numerical results and comparisons of the ACCPM with the statistic package R and the optimization package GAMS.

Translated title of the contributionCalculus of the estimators of linear quantile regression by the method ACCPM
Original languageSpanish
Pages (from-to)53-68
Number of pages16
JournalRevista Colombiana de Estadistica
Volume30
Issue number1
StatePublished - Jun 2007
Externally publishedYes

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