Nonparametric Quantile Regression: Non-Crossing Constraints and Conformal Prediction

• URL: http://arxiv.org/abs/2210.10161v1
• Date: Tue, 18 Oct 2022 20:59:48 GMT
• Title: Nonparametric Quantile Regression: Non-Crossing Constraints and Conformal Prediction
• Authors: Wenlu Tang and Guohao Shen and Yuanyuan Lin and Jian Huang
• Abstract summary: We propose a nonparametric quantile regression method using deep neural networks with a rectified linear unit penalty function to avoid quantile crossing. We establish non-asymptotic upper bounds for the excess risk of the proposed nonparametric quantile regression function estimators. Numerical experiments including simulation studies and a real data example are conducted to demonstrate the effectiveness of the proposed method.
• Score: 2.654399717608053
• License: http://creativecommons.org/licenses/by/4.0/
• Abstract: We propose a nonparametric quantile regression method using deep neural networks with a rectified linear unit penalty function to avoid quantile crossing. This penalty function is computationally feasible for enforcing non-crossing constraints in multi-dimensional nonparametric quantile regression. We establish non-asymptotic upper bounds for the excess risk of the proposed nonparametric quantile regression function estimators. Our error bounds achieve optimal minimax rate of convergence for the Holder class, and the prefactors of the error bounds depend polynomially on the dimension of the predictor, instead of exponentially. Based on the proposed non-crossing penalized deep quantile regression, we construct conformal prediction intervals that are fully adaptive to heterogeneity. The proposed prediction interval is shown to have good properties in terms of validity and accuracy under reasonable conditions. We also derive non-asymptotic upper bounds for the difference of the lengths between the proposed non-crossing conformal prediction interval and the theoretically oracle prediction interval. Numerical experiments including simulation studies and a real data example are conducted to demonstrate the effectiveness of the proposed method.

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