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arXiv · 2303.15600

Finite Representation of Quantile Sets for Multivariate Data via Vector Linear Programming

Andreas Löhne·Benjamin Weißing
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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.

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Andreas Löhne, Benjamin Weißing. 2023-03-27. Finite Representation of Quantile Sets for Multivariate Data via Vector Linear Programming. https://arxiv.org/abs/2303.15600

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