Collaborating Authors

Quantile Regression in Python


You see that our intercept is 6.0398 and our slope or the coefficient for our x is 0.0934. These are the parameters for the 0.5th quantile of our y. Similarly we can do the models for other quantiles. In side the for loop we build models for each quantile in our list quantiles. As we build these models we us also store the model parameters in a list called params.

Conformalized Quantile Regression Machine Learning

Conformal prediction is a technique for constructing prediction intervals that attain valid coverage in finite samples, without making distributional assumptions. Despite this appeal, existing conformal methods can be unnecessarily conservative because they form intervals of constant or weakly varying length across the input space. In this paper we propose a new method that is fully adaptive to heteroscedasticity. It combines conformal prediction with classical quantile regression, inheriting the advantages of both. We establish a theoretical guarantee of valid coverage, supplemented by extensive experiments on popular regression datasets. We compare the efficiency of conformalized quantile regression to other conformal methods, showing that our method tends to produce shorter intervals.

Predicting Conditional Quantiles via Reduction to Classification Machine Learning

We show how to reduce the process of predicting general order statistics (and the median in particular) to solving classification. The accompanying theoretical statement shows that the regret of the classifier bounds the regret of the quantile regression under a quantile loss. We also test this reduction empirically against existing quantile regression methods on large real-world datasets and discover that it provides state-of-the-art performance.

Joint quantile regression in vector-valued RKHSs

Neural Information Processing Systems

Addressing the will to give a more complete picture than an average relationship provided by standard regression, a novel framework for estimating and predicting simultaneously several conditional quantiles is introduced. The proposed methodology leverages kernel-based multi-task learning to curb the embarrassing phenomenon of quantile crossing, with a one-step estimation procedure and no post-processing. Moreover, this framework comes along with theoretical guarantees and an efficient coordinate descent learning algorithm. Numerical experiments on benchmark and real datasets highlight the enhancements of our approach regarding the prediction error, the crossing occurrences and the training time.

23 types of regression


This contribution is from David Corliss. David teaches a class on this subject, giving a (very brief) description of 23 regression methods in just an hour, with an example and the package and procedures used for each case.