Nonparametric conditional density estimation using piecewise-linear solution path of kernel quantile regression

  • Authors:
  • Ichiro Takeuchi;Kaname Nomura;Takafumi Kanamori

  • Affiliations:
  • -;-;-

  • Venue:
  • Neural Computation
  • Year:
  • 2009

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Abstract

The goal of regression analysis is to describe the stochastic relationship between an input vector x and a scalar output y. This can be achieved by estimating the entire conditional density p(y ∣ x). In this letter, we present a new approach for nonparametric conditional density estimation. We develop a piecewise-linear path-following method for kernel-based quantile regression. It enables us to estimate the cumulative distribution function of p(y ∣ x) in piecewise-linear form for all x in the input domain. Theoretical analyses and experimental results are presented to show the effectiveness of the approach.