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Kernel Conditional Quantile Estimation via Reduction Revisited

Quadrianto, Novi; Kersting, Kristian; Reid, Mark; Caetano, Tiberio; Buntine, Wray


Quantile regression refers to the process of estimating the quantiles of a conditional distribution and has many important applications within econometrics and data mining, among other domains. In this paper, we show how to estimate these conditional quantile functions within a Bayes risk minimization framework using a Gaussian process prior. The resulting non-parametric probabilistic model is easy to implement and allows non-crossing quantile functions to be enforced. Moreover, it can directly...[Show more]

CollectionsANU Research Publications
Date published: 2009
Type: Conference paper
Source: Proceedings of the IEEE International Conference on Data Mining (ICDM 2009)
DOI: 10.1109/ICDM.2009.82


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01_Quadrianto_Kernel_Conditional_Quantile_2009.pdf724.83 kBAdobe PDF    Request a copy
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03_Quadrianto_Kernel_Conditional_Quantile_2009.pdf172.67 kBAdobe PDF    Request a copy

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