Conditional quantile estimation through optimal quantization

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

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)

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

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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)

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Cited In (16)

• Self-organizing map visualizing conditional quantile functions with multidimensional covariates
• Nonparametric confidence intervals for conditional quantiles with large-dimensional covariates
• Quantization for Nonparametric Regression
• A note on estimation with quantized data
• Prediction via the quantile-copula conditional density estimator
• Kernel-smoothed conditional quantiles of correlated bivariate discrete data
• Vector quantile regression: an optimal transport approach
• Estimating conditional quantiles with the help of the pinball loss
• On estimating conditional quantiles and distribution functions.
• 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
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• Quantiles for Counts

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