Nonparametric Multiple-Output Center-Outward Quantile Regression

B-Tier
Journal: Journal of the American Statistical Association
Year: 2025
Volume: 120
Issue: 550
Pages: 818-832

Authors (3)

Eustasio del Barrio (not in RePEc) Alberto González Sanz (not in RePEc) Marc Hallin (Université Libre de Bruxelles)

Score contribution per author:

0.670 = (α=2.01 / 3 authors) × 1.0x B-tier

α: calibrated so average coauthorship-adjusted count equals average raw count

Abstract

Building on recent measure-transportation-based concepts of multivariate quantiles, we are considering the problem of nonparametric multiple-output quantile regression. Our approach defines nested conditional center-outward quantile regression contours and regions with given conditional probability content, the graphs of which constitute nested center-outward quantile regression tubes with given unconditional probability content; these (conditional and unconditional) probability contents do not depend on the underlying distribution—an essential property of quantile concepts. Empirical counterparts of these concepts are constructed, yielding interpretable empirical contours, regions, and tubes which are shown to consistently reconstruct (in the Pompeiu-Hausdorff topology) their population versions. Our method is entirely nonparametric and performs well in simulations—with possible heteroscedasticity and nonlinear trends. Its potential as a data-analytic tool is illustrated on some real datasets. Supplementary materials for this article are available online, including a standardized description of the materials available for reproducing the work.

Technical Details

RePEc Handle
repec:taf:jnlasa:v:120:y:2025:i:550:p:818-832
Journal Field
Econometrics
Author Count
3
Added to Database
2026-01-25