Open AccessJournal Article
Inequality constrained quantile regression
Roger Koenker,Pin Ng +1 more
TL;DR: The algorithm is a variant of the interior point algorithm described in Koenker and Portnoy (1997) for unconstrained quantile regression and is consequently quite efficient even for large problems, particularly when the inherent sparsity of the resulting linear algebra is exploited.
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Abstract: . An algorithm for computing parametric linear quantile regression estimates subject to linear inequality constraints is described. The algorithm is a variant of the interior point algorithm described in Koenker and Portnoy (1997) for unconstrained quantile regression and is consequently quite efficient even for large problems, particularly when the inherent sparsity of the resulting linear algebra is exploited. Applications to qualitatively constrained nonparametric regression are described in the penultimate section. Implementations of the algorithm are available in MATLAB and R.
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Comparison of two article-level, field-independent citation metrics: Field-Weighted Citation Impact (FWCI) and Relative Citation Ratio (RCR)
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