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MOR
2008
81views more  MOR 2008»
14 years 12 days ago
Risk Tuning with Generalized Linear Regression
A framework is set up in which linear regression, as a way of approximating a random variable by other random variables, can be carried out in a variety of ways, which moreover ca...
R. Tyrrell Rockafellar, Stan Uryasev, Michael Zaba...
JMLR
2006
135views more  JMLR 2006»
14 years 12 days ago
Quantile Regression Forests
Random forests were introduced as a machine learning tool in Breiman (2001) and have since proven to be very popular and powerful for high-dimensional regression and classificatio...
Nicolai Meinshausen
CSDA
2007
109views more  CSDA 2007»
14 years 12 days ago
Improving the computation of censored quantile regressions
Abstract. Censored quantile regressions (CQR) are a valuable tool in economics and engineering. The computation of estimators is highly complex and the performance of standard meth...
Bernd Fitzenberger, Peter Winker
CSDA
2008
122views more  CSDA 2008»
14 years 15 days ago
Time-adaptive quantile regression
An algorithm for time-adaptive quantile regression is presented. The algorithm is based on the simplex algorithm, and the linear optimization formulation of the quantile regressio...
Jan Kloppenborg Møller, Henrik Aalborg Niel...
NIPS
2007
14 years 1 months ago
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 ensu...
Andreas Christmann, Ingo Steinwart
ICDM
2009
IEEE
163views Data Mining» more  ICDM 2009»
14 years 7 months ago
Kernel Conditional Quantile Estimation via Reduction Revisited
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 ...
Novi Quadrianto, Kristian Kersting, Mark D. Reid, ...