Published

2005-07-01

MÉTODOS NUMÉRICOS PARA LA ESTIMACIÓN DE PARÁMETROS EN REGRESIÓN CUANTÍLICA

NUMERICAL METHODS TO ESTIMATE PARAMETERS IN QUANTILE REGRESSION

Keywords:

regresión cuantílica, optimización lineal, optimización no diferenciable, planos de corte (es)
quantile regression, linear programming, nondifferentiable optimization, cutting planes (en)

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Authors

  • Héctor Manuel Mora Escobar Universidad Nacional de Colombia
La regresión cuantílica es un problema de optimización convexa no diferenciable. Se examinan las ventajas y desventajas con relación a la necesidad de recursos de memoria y tiempo de cálculo de tres métodos clásicos de solución: dos de optimización lineal y el método de planos de corte.
Quantile regression is a nondifferentiable convex optimization problem. We compare three classical numerical methods, two of them based on linear optimization, and the cutting plane method. We compare them by their required memory and computing time.

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Copyright (c) 2005 Revista Colombiana de Estadística

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