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Journal of Machine Learning Research Nonparamteric Quantile Estimation (2005) 7 Submitted 10/2005; Published 12/2099
Nonparametric Quantile Regression
Ichiro Takeuchi TAKEUCHI @PA .INFO .MIE -U .AC .JP
Dept. of Information Engineering, Mie University, 1577 Kurimamachiya-cho, Tsu 514-8507, Japan
Quoc V. Le QUOC .LE @ANU .EDU .AU
Tim Sears TIM .SEARS @ANU .EDU .AU
Alexander J. Smola ALEX .SMOLA @NICTA .COM .AU
National ICT Australia and the Australian National University, Canberra ACT, Australia
Editor: U.N. Known
Abstract
In regression, the desired estimate of y |x is not always given by a conditional mean, although this is most
common. Sometimes one wants to obtain a good estimate that satisfies the property that a proportion, τ , of
y |x, will be below the estimate. For τ = 0.5 this is an estimate of the median. What might be called median
regression, is subsumed under the term quantile regression. We present a nonparametric version of a quantile
estimator, which can be obtained by solving a simple quadratic programming problem and provide uniform
convergence statements and bounds on the quantile property of our estimator. Experimental results show the
feasibility of the approach and competitiveness of our method with existing ones. We discuss several types of
extensions including an approach to solve the quantile crossing problems, as well as a method to incorporate
prior qualitative knowledge such as monotonicity constraints.
1. Introduction
Regression estimati
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