Conditional quantile estimation through optimal quantization

DOI10.1016/J.JSPI.2014.08.003MaRDI QIDQ464580zbMATH OpenOpenAlexFDO

Authors Isabelle Charlier, Jérôme Saracco, Davy Paindaveine

Publication date 27 October 2014

Published in Journal of Statistical Planning and Inference (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1405.2781

zbMATH Keywords

nonparametric regressionquantile regressionoptimal quantization

Mathematics Subject Classification ID

Nonparametric estimation (62G05) Nonparametric regression and quantile regression (62G08) Asymptotic properties of nonparametric inference (62G20) Approximations to statistical distributions (nonasymptotic) (62E17)

Abstract: In this paper, we use quantization to construct a nonparametric estimator of conditional quantiles of a scalar response $Y$ given a d-dimensional vector of covariates $X$. First we focus on the population level and show how optimal quantization of $X$, which consists in discretizing $X$ by projecting it on an appropriate grid of $N$ points, allows to approximate conditional quantiles of $Y$ given $X$. We show that this is approximation is arbitrarily good as $N$ goes to infinity and provide a rate of convergence for the approximation error. Then we turn to the sample case and define an estimator of conditional quantiles based on quantization ideas. We prove that this estimator is consistent for its fixed-$N$ population counterpart. The results are illustrated on a numerical example. Dominance of our estimators over local constant/linear ones and nearest neighbor ones is demonstrated through extensive simulations in the companion paper Charlier et al.(2014b).

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Cited in

(20)

• scientific article; zbMATH DE number 2152215 (Why is no real title available?)
• Prediction by quantization of a conditional distribution
• A note on estimation with quantized data
• Vector quantile regression: an optimal transport approach
• Quasi-maximum likelihood estimation for conditional quantiles
• Conditional quantile sequential estimation for stochastic codes
• Nonparametric confidence intervals for conditional quantiles with large-dimensional covariates
• Conditional quantile estimation using optimal quantization: a numerical study
• Prediction via the quantile-copula conditional density estimator
• Nonparametric estimation of a maximum of quantiles
• Estimating conditional quantiles with the help of the pinball loss
• Simultaneous Semiparametric Estimation of Clustering and Regression
• Kernel-smoothed conditional quantiles of correlated bivariate discrete data
• Conditional quantile estimation based on optimal quantization: from theory to practice
• On estimating conditional quantiles and distribution functions.
• Quantization for Nonparametric Regression
• Self-organizing map visualizing conditional quantile functions with multidimensional covariates
• Quantiles for Counts
• scientific article; zbMATH DE number 66820 (Why is no real title available?)
• Multiple-output quantile regression through optimal quantization

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