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Deep Non-Crossing Quantiles through the Partial Derivative

Producción científica: Artículo en revista indizada › Artículo de conferencia › revisión exhaustiva

11 Citas (Scopus)

Resumen

Quantile Regression (QR) provides a way to approximate a single conditional quantile. To have a more informative description of the conditional distribution, QR can be merged with deep learning techniques to simultaneously estimate multiple quantiles. However, the minimisation of the QR-loss function does not guarantee non-crossing quantiles, which affects the validity of such predictions and introduces a critical issue in certain scenarios. In this article, we propose a generic deep learning algorithm for predicting an arbitrary number of quantiles that ensures the quantile monotonicity constraint up to the machine precision and maintains its modelling performance with respect to alternative models. The presented method is evaluated over several real-world datasets obtaining state-of-the-art results as well as showing that it scales to large-size data sets.

Idioma originalInglés
Páginas (desde-hasta)7902-7914
Número de páginas13
PublicaciónProceedings of Machine Learning Research
Volumen151
EstadoPublicada - 2022
Publicado de forma externaSí
Evento25th International Conference on Artificial Intelligence and Statistics, AISTATS 2022 - Virtual, Online, Espana
Duración: 28 mar 2022 → 30 mar 2022

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