Communications for Statistical Applications and Methods

  • 제31권6호
  • /
  • Pages.627-644
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  • 2024
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  • 2287-7843(pISSN)
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  • 2383-4757(eISSN)
한국통계학회 (The Korean Statistical Society)
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Local quantile ensemble for machine learning methods

  • Suin Kim (Department of Statistics, Korea University) ;
  • Yoonsuh Jung (Department of Statistics, Korea University)
  • 투고 : 2024.07.03
  • 심사 : 2024.08.01
  • 발행 : 2024.11.30
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초록

Quantile regression models have become popular due to their benefits in obtaining robust estimates. Some machine learning (ML) models can estimate conditional quantiles. However, current ML methods mainly focus on just adapting quantile regression. In this paper, we propose a local quantile ensemble based on ML methods, which averages multiple estimated quantiles near the target quantile. It is designed to enhance the stability and accuracy of the quantile fits. This approach extends the composite quantile regression algorithm that typically considers the central tendency under a linear model. The proposed methods can be applied to various types of data having nonlinear and heterogeneous trend. We provide an empirical rule for choosing quantiles around the target quantile. The bias-variance tradeoff inherent in this method offers performance benefits. Through empirical studies using Monte Carlo simulations and real data sets, we demonstrate that the proposed method can significantly improve quantile estimation accuracy and stabilize the quantile fits.

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과제정보

Yoonsuh Jung's work was partially supported by National Research Foundation of Korea (NRF) grant funded by Korea government (MIST)(No. 2022M3J6A1063595 and No. 2022R1F1A1071126).

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