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Section: New Results

Conditional quantile estimation through optimal quantization: theoretical aspects

The following result has been obtained by J. Saracco (Inria CQFD) and I. Charlier (Inria CQFD), D. Paindaveine (ULB).

In this work, we use quantization to construct a nonparametric estimator of conditional quantiles of a scalar response $Y$ given a d-dimensional vector of covariates $X$. First we focus on the population level and show how optimal quantization of $X$, which consists in discretizing $X$ by projecting it on an appropriate grid of $N$ points, allows to approximate conditional quantiles of $Y$ given $X$. We show that this approximation is arbitrarily good as $N$ goes to infinity and provide a rate of convergence for the approximation error. Then we turn to the sample case and define an estimator of conditional quantiles based on quantization ideas. We prove that this estimator is consistent for its fixed-$N$ population counterpart. The results are illustrated on a numerical example.