Mixture Quantiles Estimated by Constrained Linear Regression

Cheng Peng; Yizhou Li; Stan Uryasev

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arXiv · 2305.00081

Mixture Quantiles Estimated by Constrained Linear Regression

Cheng Peng·Yizhou Li·Stan Uryasev

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Abstract

We study the problem of modeling univariate distributions via their quantile functions. We introduce a flexible family of distributions whose quantile function is a linear combination of basis quantiles. Because the model is linear in its parameters, estimation reduces to constrained linear regression, yielding a convex optimization problem that readily accommodates cardinality constraints as well as L1 or smoothness regularization. For Lq-type objectives we show the estimator is asymptotically equivalent to a minimum q-Wasserstein distance estimator and establish asymptotic normality. Experiments on simulated and real-world datasets demonstrate that the proposed method accurately captures both the central body and extreme tails of distributions while requiring substantially less computation than standard benchmark approaches.

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Cheng Peng, Yizhou Li, Stan Uryasev. 2023-04-28. Mixture Quantiles Estimated by Constrained Linear Regression. https://arxiv.org/abs/2305.00081

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