Specifically, we consider an individual calibration objective for characterizing the quantiles of the prediction model.

We propose a parsimonious quantile regression framework to learn the dynamic tail behaviors of financial asset returns.

Distributed learning has attracted significant attention recently with the increasing popularity of distributed systems and distributed data.

We develop a method to generate prediction intervals that have a user-specified coverage level across all regions of feature-space, a property calledconditional coverage.

Among the many ways of quantifying uncertainty in a regression setting, specifying the full quantile function is attractive, as quantiles are amenable to interpretation and evaluation. A model that predicts the true conditional quantiles for each input, at all quantile levels, presents a correct and efficient representation of the underlying uncertainty. To achieve this, many current quantile-based methods focus on optimizing the pinball loss. However, this loss restricts the scope of applicable regression models, limits the ability to target many desirable properties (e.g.

We study distributed learning of nonparametric conditional quantiles with Tikhonov regularization in a reproducing kernel Hilbert space (RKHS). Although distributed parametric quantile regression has been investigated in several existing works, the current nonparametric quantile setting poses different challenges and is still unexplored. The difficulty lies in the illusive explicit bias-variance decomposition in the quantile RKHS setting as in the regularized least squares regression. For the simple divide-and-conquer approach that partitions the data set into multiple parts and then takes an arithmetic average of the individual outputs, we establish the risk bounds using a novel second-order empirical process for quantile risk.

We develop a method to generate prediction intervals that have a user-specified coverage level across all regions of feature-space, a property called conditional coverage. A typical approach to this task is to estimate the conditional quantiles with quantile regression---it is well-known that this leads to correct coverage in the large-sample limit, although it may not be accurate in finite samples. We find in experiments that traditional quantile regression can have poor conditional coverage. To remedy this, we modify the loss function to promote independence between the size of the intervals and the indicator of a miscoverage event. For the true conditional quantiles, these two quantities are independent (orthogonal), so the modified loss function continues to be valid. Moreover, we empirically show that the modified loss function leads to improved conditional coverage, as evaluated by several metrics. We also introduce two new metrics that check conditional coverage by looking at the strength of the dependence between the interval size and the indicator of miscoverage.

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.