Factorisable Multi-Task Quantile Regression
نویسندگان
چکیده
منابع مشابه
Factorisable Multi-Task Quantile Regression∗
We propose a multivariate quantile regression framework that exploits the factor structure in multivariate conditional quantiles through nuclear norm regularization. Because the incurred optimization problem can only be solved approximately, we develop a non-asymptotic upper bound for the estimation error that takes into account the optimization error. We specify an algorithm to compute an appr...
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ژورنال
عنوان ژورنال: SSRN Electronic Journal
سال: 2016
ISSN: 1556-5068
DOI: 10.2139/ssrn.2892555