Sankhya: The Indian Journal of Statistics

2005, Volume 67, Pt. 2, 418--440

Inequality Constrained Quantile Regression


Roger Koenker, University of Illinois at Urbana-Champaign, USA
Pin Ng, University of Northern Arizona, Flagstaff, USA

SUMMARY. An algorithm for computing parametric linear quantile regression estimates subject to linear inequality constraints is described. The algorithm is a variant of the interior point algorithm described in Koenker and Portnoy (1997) for unconstrained quantile regression and is consequently quite efficient even for large problems, particularly when the inherent sparsity of the resulting linear algebra is exploited. Applications to qualitatively constrained nonparametric regression are described in the penultimate sections. Implementations of the algorithm are available in MATLAB and R..

AMS (1991) subject classification. Primary 62J05, 90C05, 65D10; Secondary 62G08, 90C06, 65F50, 62G35.

Key words and phrases. Quantile regression, qualitative constraints, interior point algorithm, sparse matrices, smoothing.

Full paper (PDF)