[60 Jahre IHS Sujet] <https://ihs.ac.at/> Forschungsseminar Kathrin Gruber On super level-sets of conditional multivariate densities for multiple-output quantile regression Thursday, April 20th, 4 pm—5:30 pm Institute for Advanced Studies, Josefstädter Straße 39, 1080 Vienna, Salon ________________________________ About the Event The simultaneous study of quantiles of multiple response variables requires a vector-valued approach to regression quantiles. However, common proposals of multivariate quantiles do not sufficiently control the probability content and thus, lack a clear probabilistic interpretation. We suggest superlevel-sets of conditional multivariate densities as an alternative multivariate quantile definition. Hence, the quantile is a function of the conditioning variables like in quantile regression. We show that such a conditional superlevel-set quantile has favorable mathematical and intuitive features. We derive the quantile for a specified conditional or marginal density from an (overfitted) multivariate Gaussian mixture model to guarantee logically consistent (i.e., non-crossing) conditional quantile level sets. We demonstrate recovery of the true conditional quantiles for distributions with correlation, heteroskedasticity, or asymmetry and apply our method to a study on household expenditures. Read more<https://www.ihs.ac.at/events/detail/forschungsseminar-kathrin-gruber/> Participation We cordially invite you to this Research Seminar and ask you to please register at event@ihs.ac.at<mailto:event@ihs.ac.at> ________________________________ Unsere Datenschutzerklärung finden Sie hier<https://ihs.ac.at/de/datenschutzerklaerung>. You can find our privacy policy here<https://ihs.ac.at/de/datenschutzerklaerung>. Impressum Institut für Höhere Studien, Josefstädter Straße 39, 1080 Vienna Tel: +43-1-59991-0 Fax: +43-1-59991-555 Email: office(at)ihs.ac.at Web: https://www.ihs.ac.at/ ZVR-Zahl: 066207973 DVR-Zahl: 0003921