{"title":"用于高维量化预测的稀疏 PAC-Bayesian 方法","authors":"The Tien Mai","doi":"arxiv-2409.01687","DOIUrl":null,"url":null,"abstract":"Quantile regression, a robust method for estimating conditional quantiles,\nhas advanced significantly in fields such as econometrics, statistics, and\nmachine learning. In high-dimensional settings, where the number of covariates\nexceeds sample size, penalized methods like lasso have been developed to\naddress sparsity challenges. Bayesian methods, initially connected to quantile\nregression via the asymmetric Laplace likelihood, have also evolved, though\nissues with posterior variance have led to new approaches, including\npseudo/score likelihoods. This paper presents a novel probabilistic machine\nlearning approach for high-dimensional quantile prediction. It uses a\npseudo-Bayesian framework with a scaled Student-t prior and Langevin Monte\nCarlo for efficient computation. The method demonstrates strong theoretical\nguarantees, through PAC-Bayes bounds, that establish non-asymptotic oracle\ninequalities, showing minimax-optimal prediction error and adaptability to\nunknown sparsity. Its effectiveness is validated through simulations and\nreal-world data, where it performs competitively against established\nfrequentist and Bayesian techniques.","PeriodicalId":501379,"journal":{"name":"arXiv - STAT - Statistics Theory","volume":"53 1","pages":""},"PeriodicalIF":0.0000,"publicationDate":"2024-09-03","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"0","resultStr":"{\"title\":\"A sparse PAC-Bayesian approach for high-dimensional quantile prediction\",\"authors\":\"The Tien Mai\",\"doi\":\"arxiv-2409.01687\",\"DOIUrl\":null,\"url\":null,\"abstract\":\"Quantile regression, a robust method for estimating conditional quantiles,\\nhas advanced significantly in fields such as econometrics, statistics, and\\nmachine learning. In high-dimensional settings, where the number of covariates\\nexceeds sample size, penalized methods like lasso have been developed to\\naddress sparsity challenges. Bayesian methods, initially connected to quantile\\nregression via the asymmetric Laplace likelihood, have also evolved, though\\nissues with posterior variance have led to new approaches, including\\npseudo/score likelihoods. This paper presents a novel probabilistic machine\\nlearning approach for high-dimensional quantile prediction. It uses a\\npseudo-Bayesian framework with a scaled Student-t prior and Langevin Monte\\nCarlo for efficient computation. The method demonstrates strong theoretical\\nguarantees, through PAC-Bayes bounds, that establish non-asymptotic oracle\\ninequalities, showing minimax-optimal prediction error and adaptability to\\nunknown sparsity. Its effectiveness is validated through simulations and\\nreal-world data, where it performs competitively against established\\nfrequentist and Bayesian techniques.\",\"PeriodicalId\":501379,\"journal\":{\"name\":\"arXiv - STAT - Statistics Theory\",\"volume\":\"53 1\",\"pages\":\"\"},\"PeriodicalIF\":0.0000,\"publicationDate\":\"2024-09-03\",\"publicationTypes\":\"Journal Article\",\"fieldsOfStudy\":null,\"isOpenAccess\":false,\"openAccessPdf\":\"\",\"citationCount\":\"0\",\"resultStr\":null,\"platform\":\"Semanticscholar\",\"paperid\":null,\"PeriodicalName\":\"arXiv - STAT - Statistics Theory\",\"FirstCategoryId\":\"1085\",\"ListUrlMain\":\"https://doi.org/arxiv-2409.01687\",\"RegionNum\":0,\"RegionCategory\":null,\"ArticlePicture\":[],\"TitleCN\":null,\"AbstractTextCN\":null,\"PMCID\":null,\"EPubDate\":\"\",\"PubModel\":\"\",\"JCR\":\"\",\"JCRName\":\"\",\"Score\":null,\"Total\":0}","platform":"Semanticscholar","paperid":null,"PeriodicalName":"arXiv - STAT - Statistics Theory","FirstCategoryId":"1085","ListUrlMain":"https://doi.org/arxiv-2409.01687","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"","JCRName":"","Score":null,"Total":0}
A sparse PAC-Bayesian approach for high-dimensional quantile prediction
Quantile regression, a robust method for estimating conditional quantiles,
has advanced significantly in fields such as econometrics, statistics, and
machine learning. In high-dimensional settings, where the number of covariates
exceeds sample size, penalized methods like lasso have been developed to
address sparsity challenges. Bayesian methods, initially connected to quantile
regression via the asymmetric Laplace likelihood, have also evolved, though
issues with posterior variance have led to new approaches, including
pseudo/score likelihoods. This paper presents a novel probabilistic machine
learning approach for high-dimensional quantile prediction. It uses a
pseudo-Bayesian framework with a scaled Student-t prior and Langevin Monte
Carlo for efficient computation. The method demonstrates strong theoretical
guarantees, through PAC-Bayes bounds, that establish non-asymptotic oracle
inequalities, showing minimax-optimal prediction error and adaptability to
unknown sparsity. Its effectiveness is validated through simulations and
real-world data, where it performs competitively against established
frequentist and Bayesian techniques.