Neural Networks for Partially Linear Quantile Regression
提出一种结合深度神经网络与部分线性分位数回归的半参数方法，在保持可解释性和统计推断能力的同时，利用深度学习灵活建模复杂数据，并证明了参数估计的渐近正态性和非参数函数估计的最优收敛速度。
Deep learning has enjoyed tremendous success in a variety of applications but its application to quantile regression remains scarce. A major advantage of the deep learning approach is its flexibility to model complex data in a more parsimonious way than nonparametric smoothing methods. However, while deep learning brought breakthroughs in prediction, it is not well suited for statistical inference due to its black box nature. In this article, we leverage the advantages of deep learning and apply it to quantile regression where the goal is to produce interpretable results and perform statistical inference. We achieve this by adopting a semiparametric approach based on the partially linear quantile regression model, where covariates of primary interest for statistical inference are modeled linearly and all other covariates are modeled nonparametrically by means of a deep neural network. In addition to the new methodology, we provide theoretical justification for the proposed model by establishing the root-<i>n</i> consistency and asymptotically normality of the parametric coefficient estimator and the minimax optimal convergence rate of the neural nonparametric function estimator. Across several simulated and real data examples, the proposed model empirically produces superior estimates and more accurate predictions than various alternative approaches.