Finite Representation of Quantile Sets for Multivariate Data via Vector Linear Programming
Statistics Theory
2024-04-26 v3 Optimization and Control
Statistics Theory
Abstract
Empirical quantiles for finitely distributed univariate random variables can be obtained by solving a certain linear program. It is shown in this short note that multivariate empirical quantiles can be obtained in a very similar way by solving a vector linear program. This connection provides a new approach for computing Tukey depth regions and more general cone quantile sets.
Keywords
Cite
@article{arxiv.2303.15600,
title = {Finite Representation of Quantile Sets for Multivariate Data via Vector Linear Programming},
author = {Andreas Löhne and Benjamin Weißing},
journal= {arXiv preprint arXiv:2303.15600},
year = {2024}
}
Comments
revised version, more detailed explanation