Twin support vector quantile regression

Yafen Ye, Zhihu Xu, Jinhua Zhang, Weijie Chen, Yuanhai Shao

Abstract: Highlights•TSVQR is proposed to capture heterogeneous and asymmetric information.•Two nonparallel planes measure asymmetric distribution at each quantile level.•Two smaller-sized QPPs are solved with lower computational complexity.•Experimental results show the effectiveness of TSVQR on heterogeneous datasets.