#StackBounty: #regression #pdf #quantiles #quantile-regression Quality of a quantile regression learner

Bounty: 100

Given a learning algorithm that selects and trains quantile models, how do we evaluate it?

One idea is to – use the algorithm to train a model on a synthetic dataset

  • with labels drawn from an analytical distribution (with known PDF), parameterized by the features
  • and attempt to measure how the predicted quantile values differ from the ones computed from the analytical distribution.
  • while varying the {number of examples shown, training duration, etc}

Would this work?

Thanks!!


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