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Nonparametric quantile estimation

Takeuchi, Ichiro; Le, Quoc; Sears, Timothy; Smola, Alexander


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]

CollectionsANU Research Publications
Date published: 2006
Type: Journal article
Source: Journal of Machine Learning Research


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