Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/122013
Authors: 
Chao, Shih-Kang
Härdle, Wolfgang K.
Yuan, Ming
Year of Publication: 
2015
Series/Report no.: 
SFB 649 Discussion Paper 2015-034
Abstract: 
In this paper, we propose a multivariate quantile regression method which enables localized analysis on conditional quantiles and global comovement analysis on conditional ranges for high-dimensional data. The proposed method, hereafter referred to as FActorisable Sparse Tail Event Curves, or FASTEC for short, exploits the potential factor structure of multivariate conditional quantiles through nuclear norm regularization and is particularly suitable for dealing with extreme quantiles. We study both theoretical properties and computational aspects of the estimating procedure for FASTEC. In particular, we derive nonasymptotic oracle bounds for the estimation error, and develope an efficient proximal gradient algorithm for the non-smooth optimization problem incurred in our estimating procedure. Merits of the proposed methodology are further demonstrated through applications to Conditional Autoregressive Value-at-Risk (CAViaR) (Engle and Manganelli; 2004), and a Chinese temperature dataset.
Subjects: 
high-dimensional data analysis
multivariate quantile regression
quantile regression
value-at-risk
nuclear norm
multi-task learning
JEL: 
C38
C55
C63
G17
G20
Document Type: 
Working Paper

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