Quantile-parameterized distribution: Difference between revisions

Revision as of 19:57, 12 November 2020

Revision as of 03:32, 30 December 2020

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=== Convexity ===

A QPD’s set of feasible coefficients <math>S_\boldsymbol a=\{\boldsymbol a\in\R^n \mid \sum_{i=1}^n a_i d g_i (y)/dy > 0</math> for all <math>y\in (0,1)\}</math> is [[Convex set|convex]]. Because [[convex optimization]] problems requirerequires convex feasible sets, this property simplifies optimization problemsapplications involving QPDs.

=== Fitting to data ===