Factor Model of Mixtures
混合分布因子模型
This paper proposes a new approach to estimating the distribution of a response variable conditioned on observing some factors. The proposed approach possesses desirable properties of flexibility, interpretability, tractability and extendability. The conditional quantile function is modeled by a mixture (weighted sum) of basis quantile functions, with the weights depending on factors. The calibration problem is formulated as a convex optimization problem. It can be viewed as…