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.
Issue Section:
Letters
© 2008 Massachusetts Institute of Technology
2008
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