Nonparametric quantile estimation
In regression, the desired estimate of y|x is not always given by a conditional mean, although this is most common. Sometimes one wants to obtain a good estimate that satisfies the property that a proportion, t, of y|x, will be below the estimate. For t = 0.5 this is an estimate of the median. What might be called median regression, is subsumed under the term quantile regression. We present a nonparametric version of a quantile estimator, which can be obtained by solving a simple quadratic...[Show more]
|Collections||ANU Research Publications|
|Source:||Journal of Machine Learning Research|
|Takeuchi_2006.pdf||883.52 kB||Adobe PDF|
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