Nonparametric Quantile Estimation

@article{Takeuchi2006NonparametricQE,
  title={Nonparametric Quantile Estimation},
  author={Ichiro Takeuchi and Quoc V. Le and Tim D. Sears and Alexander J. Smola},
  journal={Journal of Machine Learning Research},
  year={2006},
  volume={7},
  pages={1231-1264}
}
In regression, the desired estimate of y|x is not always given by a conditional mean, although this is most common. Sometimes one wants to obtain a good estimate that satisfies the property that a proportion, τ , of y|x, will be below the estimate. For τ = 0.5 this is an estimate of the median. What might be called median regression, is subsumed under the term quantile regression. We present a nonparametric version of a quantile estimator, which can be obtained by solving a simple quadratic… CONTINUE READING
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