Distribution-free conditional median inference

DOI10.1214/21-EJS1910MaRDI QIDQ2233585zbMATH OpenOpenAlexFDO

Authors Dhruv Medarametla, Emmanuel J. Candès

Publication date 11 October 2021

Published in Electronic Journal of Statistics (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/2102.07967, https://projecteuclid.org/journals/electronic-journal-of-statistics/volume-15/issue-2/Distribution-free-conditional-median-inference/10.1214/21-EJS1910.full

zbMATH Keywords

conformal inferencedistribution-freemedian regressionnonparametric inferencequantile regression

Mathematics Subject Classification ID

Nonparametric regression and quantile regression (62G08) Nonparametric tolerance and confidence regions (62G15)

Abstract: We consider the problem of constructing confidence intervals for the median of a response $YinmathbbR$ conditional on features $Xinmathbb{R}^d$ in a situation where we are not willing to make any assumption whatsoever on the underlying distribution of the data $(X,Y)$. We propose a method based upon ideas from conformal prediction and establish a theoretical guarantee of coverage while also going over particular distributions where its performance is sharp. Additionally, we prove an equivalence between confidence intervals for the conditional median and confidence intervals for the response variable, resulting in a lower bound on the length of any possible conditional median confidence interval. This lower bound is independent of sample size and holds for all distributions with no point masses.

Recommendations

• Is distribution-free inference possible for binary regression?
• The limits of distribution-free conditional predictive inference
• scientific article; zbMATH DE number 1805834
• Robust nonparametric inference for the median
• scientific article; zbMATH DE number 646822

Cites work

• A tutorial on conformal prediction
• ASYMPTOTIC THEORY FOR NONLINEAR QUANTILE REGRESSION UNDER WEAK DEPENDENCE
• Conditional quantile processes based on series or many regressors
• Distribution-Free Prediction Sets
• Distribution-free predictive inference for regression
• scientific article; zbMATH DE number 5957364 (Why is no real title available?)
• scientific article; zbMATH DE number 2168212 (Why is no real title available?)
• scientific article; zbMATH DE number 1931847 (Why is no real title available?)
• Is distribution-free inference possible for binary regression?
• On-line predictive linear regression
• Predictive inference with the jackknife+
• Quantile regression.
• The limits of distribution-free conditional predictive inference
• The Nonexistence of Certain Statistical Procedures in Nonparametric Problems

Cited in

(6)

• Conformal prediction: a unified review of theory and new challenges
• Is distribution-free inference possible for binary regression?
• scientific article; zbMATH DE number 653199 (Why is no real title available?)
• The limits of distribution-free conditional predictive inference
• A review of recent advances in high-dimensional quantile regression
• The limits of assumption-free tests for algorithm performance

Describes a project that uses

Uses Software

• PredictiveRegression
• conformalInference

This page was built for publication: Distribution-free conditional median inference

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2233585)