Bitte verwenden Sie diesen Link, um diese Publikation zu zitieren, oder auf sie als Internetquelle zu verweisen: https://hdl.handle.net/10419/230810 
Erscheinungsjahr: 
2020
Schriftenreihe/Nr.: 
IRTG 1792 Discussion Paper No. 2020-004
Verlag: 
Humboldt-Universität zu Berlin, International Research Training Group 1792 "High Dimensional Nonstationary Time Series", Berlin
Zusammenfassung: 
A multivariate quantile regression model with a factor structure is proposed to study data with many responses of interest. The factor structure is allowed to vary with the quantile levels, which makes our framework more flexible than the classical factor models. The model is estimated with the nuclear norm regularization in order to accommodate the high dimensionality of data, but the incurred optimization problem can only be efficiently solved in an approximate manner by off-the-shelf optimization methods. Such a scenario is often seen when the empirical risk is non-smooth or the numerical procedure involves expensive subroutines such as singular value decompo- sition. To ensure that the approximate estimator accurately estimates the model, non-asymptotic bounds on error of the the approximate estimator is established. For implementation, a numerical procedure that provably marginalizes the approximate error is proposed. The merits of our model and the proposed numerical procedures are demonstrated through Monte Carlo experiments and an application to finance involving a large pool of asset returns.
Schlagwörter: 
Factor model
quantile regression
non-asymptotic analysis
multivariate regression
nuclear norm regularization
JEL: 
C13
C38
C61
G17
Dokumentart: 
Working Paper

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