Kybernetika 52 no. 1, 28-51, 2016

Directional quantile regression in Octave (and MATLAB)

Pavel Boček and Miroslav ŠimanDOI: 10.14736/kyb-2016-1-0028


Although many words have been written about two recent directional (regression) quantile concepts, their applications, and the algorithms for computing associated (regression) quantile regions, their software implementation is still not widely available, which, of course, severely hinders the dissemination of both methods. Wanting to partly fill in the gap here, we provide all the codes needed for computing and plotting the multivariate (regression) quantile regions in Octave and MATLAB, describe their use in detail, and explain their output with a few carefully designed examples.


quantile regression, multivariate quantile, regression quantile, directional quantile, halfspace depth, regression depth, depth contour, Octave, MATLAB


62-04, 65C60, 62H05, 62J99


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