TITLE:
Introduction and Some Recent Advances in Lp Quantile Regression
AUTHORS:
Ying Sun, Fuming Lin
KEYWORDS:
Quantile, Expectile, Lp Quantile, Risk Measure
JOURNAL NAME:
Journal of Applied Mathematics and Physics,
Vol.12 No.11,
November
22,
2024
ABSTRACT: As extremely important methods, Lp regression methods have attracted the attention of either theoretical or empirical researchers all over the world. As special cases of that, quantile and expectile regression (with p = 1 and p = 2, respectively) are well acquainted with. In contrast with them, general Lp regression (with p equals 1 and 2) has recently been found to have many unexpected properties by some studies, especially when 1 p Lp quantile regression under various p settings and shows some recent advances in Lp quantile regression, theoretically and empirically.