Abstract

LOPEZ, HÉCTOR ANDRÉS  and  MORA, HÉCTOR MANUEL. Calculus of the Estimators of Linear Quantile Regression by the Method ACCPM. Rev.Colomb.Estad. [online]. 2007, vol.30, n.1, pp. 53-68. 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.