Publication
UAI 2006
Conference paper

Predicting conditional quantiles via reduction to classification

Abstract

We show how to reduce the process of predicting conditional quantiles (and the median in particular) to solving classification. The accompanying theoretical statement shows that the regret of the classifier bounds the regret of the quantile regression under a quantile loss. We also test this reduction empirically against existing quantile regression methods on large real-world datasets and discover that it provides state-of-the-art performance.

Date

01 Dec 2006

Publication

UAI 2006

Authors

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