Weighted quantile regression via support vector machine

作者：

Highlights：

• The support vector weighted quantile regression approach is proposed.

• It nests several popular quantile regression methods as special cases.

• We provide a simple conditional quantile estimator of the proposed approach.

• It shows superior predictive ability in numerical simulations and applications.

摘要

•The support vector weighted quantile regression approach is proposed.•It nests several popular quantile regression methods as special cases.•We provide a simple conditional quantile estimator of the proposed approach.•It shows superior predictive ability in numerical simulations and applications.

论文关键词：Quantile regression,Support vector machine,Support vector weighted quantile regression,Weight function

论文评审过程：Available online 12 March 2015.

论文官网地址：https://doi.org/10.1016/j.eswa.2015.03.003