An interior point algorithm for nonlinear quantile regression

被引：203

作者：

Koenker, R

Park, BJ

机构：

[1] Department of Economics, University of Illinois, Champaign

来源：

JOURNAL OF ECONOMETRICS | 1996年 / 71卷 / 1-2期

基金：

美国国家科学基金会;

关键词：

quantile regression; nonlinear regression; linear programming; interior point algorithms; nonlinear programming;

D O I：

10.1016/0304-4076(96)84507-6

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

A new algorithm for computing quantile regression estimates for problems in which the response function is nonlinear in parameters is described. The nonlinear I, estimation problem is a special (median) case. The algorithm is closely related to recent developments on interior point methods for solving linear programs. Performance of the algorithm on a variety of test problems including the censored linear quantile regression problem of Powell (1986) is reported.

引用

页码：265 / 283

页数：19

共 50 条

[21] Globally convergent interior-point algorithm for nonlinear programming
Akrotirianakis, I
Rustem, B
[J]. JOURNAL OF OPTIMIZATION THEORY AND APPLICATIONS, 2005, 125 (03) : 497 - 521
[22] A positive interior-point algorithm for nonlinear complementarity problems
Ma, CF
Liang, GP
Chen, XM
[J]. APPLIED MATHEMATICS AND MECHANICS-ENGLISH EDITION, 2003, 24 (03) : 355 - 362
[23] An interior point algorithm for large-scale nonlinear programming
Byrd, RH
Hribar, ME
Nocedal, J
[J]. SIAM JOURNAL ON OPTIMIZATION, 1999, 9 (04) : 877 - 900
[24] A feasible direction interior point algorithm for nonlinear semidefinite programming
Miguel Aroztegui
José Herskovits
Jean Rodolphe Roche
Elmer Bazán
[J]. Structural and Multidisciplinary Optimization, 2014, 50 : 1019 - 1035
[25] A feasible direction interior point algorithm for nonlinear semidefinite programming
Aroztegui, Miguel
Herskovits, Jose
Roche, Jean Rodolphe
Bazan, Elmer
[J]. STRUCTURAL AND MULTIDISCIPLINARY OPTIMIZATION, 2014, 50 (06) : 1019 - 1035
[26] A penalty-interior-point algorithm for nonlinear constrained optimization
Frank E. Curtis
[J]. Mathematical Programming Computation, 2012, 4 (2) : 181 - 209
[27] A positive interior-point algorithm for nonlinear complementarity problems
Ma Chang-feng
Liang Guo-ping
Chen Xin-mei
[J]. Applied Mathematics and Mechanics, 2003, 24 (3) : 355 - 362
[28] A finite smoothing algorithm for quantile regression
Chen, Colin
[J]. JOURNAL OF COMPUTATIONAL AND GRAPHICAL STATISTICS, 2007, 16 (01) : 136 - 164
[29] A fast imputation algorithm in quantile regression
Cheng, Hao
Wei, Ying
[J]. COMPUTATIONAL STATISTICS, 2018, 33 (04) : 1589 - 1603
[30] Quantile regression using RJMCMC algorithm
Yu, KM
[J]. COMPUTATIONAL STATISTICS & DATA ANALYSIS, 2002, 40 (02) : 303 - 315

← 1 2 3 4 5 →