Likewise, the general th sample quantile ( ), which is the analogue of Q( ), may be formulated as the
solution of the optimization problem
for any quantile 2 (0, 1). The quantity ˆ ( ) is called the th regression quantile. The case = 1/2,
which minimizes the sum of absolute residuals, corresponds to median regression, which is also known as
L1 regression.
Likewise, the general th sample quantile ( ), which is the analogue of Q( ), may be formulated as thesolution of the optimization problemfor any quantile 2 (0, 1). The quantity ˆ ( ) is called the th regression quantile. The case = 1/2,which minimizes the sum of absolute residuals, corresponds to median regression, which is also known asL1 regression.
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