A new comparison theorem on conditional quantiles |
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Authors: | Dao-Hong Xiang |
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Affiliation: | Department of Mathematics, Zhejiang Normal University, Jinhua, Zhejiang 321004, China |
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Abstract: | This paper studies the conditional quantile regression problem involving the pinball loss. We introduce a concept of τ-quantile of p-average logarithmic type q to complement the previous study by Steinwart and Christman (2008, 2011) [1] and [2]. A new comparison theorem is provided which can be used for further error analysis of some learning algorithms. |
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Keywords: | Quantile regression Pinball loss Comparison theorem Learning theory Generalization error |
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