How SVMs can estimate quantiles and the median

Part of Advances in Neural Information Processing Systems 20 (NIPS 2007)

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Andreas Christmann, Ingo Steinwart


We investigate quantile regression based on the pinball loss and the ǫ-insensitive loss. For the pinball loss a condition on the data-generating distribution P is given that ensures that the conditional quantiles are approximated with respect to k · k1. This result is then used to derive an oracle inequality for an SVM based on the pinball loss. Moreover, we show that SVMs based on the ǫ-insensitive loss estimate the conditional median only under certain conditions on P .