Revista Colombiana de Estadística
Print version ISSN 0120-1751
The present work shows how to calculate the estimators in quantile regression by nondifferentiable optimization method ACCPM (Analytic Center Cutting Plane Method). The calculus of the estimators is usually found by linear programming and its respective techniques of solution (Simplex method, interior point methods, etc.). The first part presents some generalities of quantile regression and its formulation as a linear programming problem. Also, a brief description of the ACCPM method is made. Finally, it is shown the application of the ACCPM method for the calculation of the estimators by quantiles and the numerical results and comparisons of the ACCPM with the statistic package R and the optimization package GAMS.
Keywords : Optimization; Regression estimator; Linear programming; Quantile estimation.