An interior point algorithm for nonlinear quantile regression / Roger Koenker ; Beum J. Park

44 Pages·1992·2.3 MB·English

by  Koenker, Roger W

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Faculty Working Paper 92-0127
An
Interior Point Algorithm for
Nonlinear Quantile Regression
«*
&
JOH
Roger Koenker BeumJ. Park
Department ofEconomics GraduateAssistant
University ofIllinois University ofIllinois
Bureau of Economic and Business Research
College ofCommerce and Business Administration
University of Illinois at Urbana-Champaign

BEBR
FACULTY WORKING PAPER NO. 92-0127
College of Commerce and Business Administration
University of Illinois at Qrbana-Champaign
May 1992
An Interior Point Algorithm for
Nonlinear Quantile Regression
Roger Koenker
Department of Economics
Beum J. Park
Graduate Assistant
Digitized by the Internet Archive
in 2012 with funding from
University of Illinois Urbana-Champaign
http://www.archive.org/details/interiorpointalg92127koen
An Interior Point Algorithm for
Nonlinear Quantile Regression
Roger Koenker
and
Beum J. Park*
April 1992
Abstract
A new algorithm for computing quantile regression estimates for problems in which the
response function is nonlinear in parameters is described. The nonlinear / \ estimation
problem is a special (median) case. The algorithm is closely related to recent
developments on interior point methods for solving linear programs. Performance of the
algorithm on a variety of test problems including the censored linear quantile regression
problem of Powell (1986) is reported.
Keywords: Quantile Regression, Nonlinear Regression, Linear Programming, Interior
Point Algorithms, Nonlinear Programming
*
Department of Economics, University of Illinois, Champaign, Illinois, 61820. This work was partially
supported by NSF grant SES 91-21776.