Details

Given a set X of p features x₁= (x₁₁,…,x_n1), ..., x_p= (x_1p,…,x_np) and the quantile orders β=(β₁,…, β_m), the problem is to compute z_ik such that P{ξ_i≤z_ik} ≥β_k and P{ξ_i > z_ik} ≤ 1 - β_k, where

• x _i = (x_1i,…,x_ni) are observations of a random variable ξ_i that represents the i-th feature
• P is the probability measure
• i = 1, ..., p
• k = 1, ..., m