How SVMs can estimate quantiles and the median

We investigate quantile regression based on the pinball loss and the ǫ-insensitive loss. For the pinball loss a condition on the data-generating distribution P is given that ensures that the conditional quantiles are approximated with respect to

• Type: Conference
• Year: 2007
• Where: NIPS
• Authors: Andreas Christmann, Ingo Steinwart
• Keywords: Information Technology, NIPS 2007, ǫ-insensitive Loss, Pinball Loss, Quantile Regression