Conditional quantile estimation through optimal quantization

DOI10.1016/J.JSPI.2014.08.003zbMATH Open1310.62051arXiv1405.2781OpenAlexW2019646858MaRDI QIDQ464580FDOQ464580

Jérôme Saracco, Davy Paindaveine, Isabelle Charlier

Publication date: 27 October 2014

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

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).

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)

Cites Work

• Title not available (Why is that?)
• Title not available (Why is that?)
• Title not available (Why is that?)
• Title not available (Why is that?)
• Regression Quantiles
• Local Linear Quantile Regression
• Semiparametric Estimation of Regression Quantiles with Application to Standardizing Weight for Height and Age in US Children
• Foundations of quantization for probability distributions
• AN OPTIMAL MARKOVIAN QUANTIZATION ALGORITHM FOR MULTI-DIMENSIONAL STOCHASTIC CONTROL PROBLEMS
• A QUANTIZATION TREE METHOD FOR PRICING AND HEDGING MULTIDIMENSIONAL AMERICAN OPTIONS
• A space quantization method for numerical integration
• Kernel and nearest-neighbor estimation of a conditional quantile
• Optimal quadratic quantization for numerics: the Gaussian case
• Quantization and clustering with Bregman divergences
• Conditional quantile estimation based on optimal quantization: from theory to practice
• Optimal quantization applied to sliced inverse regression

Cited In (8)

• Nonparametric confidence intervals for conditional quantiles with large-dimensional covariates
• A note on estimation with quantized data
• Estimating conditional quantiles with the help of the pinball loss
• Title not available (Why is that?)
• Quasi-maximum likelihood estimation for conditional quantiles
• Nonparametric estimation of a maximum of quantiles
• Conditional quantile estimation based on optimal quantization: from theory to practice
• Simultaneous Semiparametric Estimation of Clustering and Regression

This page was built for publication: Conditional quantile estimation through optimal quantization

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q464580)