English

Tight Distribution-Free Confidence Intervals for Local Quantile Regression

Methodology 2024-01-29 v2

Abstract

It is well known that it is impossible to construct useful confidence intervals (CIs) about the mean or median of a response YY conditional on features X=xX = x without making strong assumptions about the joint distribution of XX and YY. This paper introduces a new framework for reasoning about problems of this kind by casting the conditional problem at different levels of resolution, ranging from coarse to fine localization. In each of these problems, we consider local quantiles defined as the marginal quantiles of YY when (X,Y)(X,Y) is resampled in such a way that samples XX near xx are up-weighted while the conditional distribution YXY \mid X does not change. We then introduce the Weighted Quantile method, which asymptotically produces the uniformly most accurate confidence intervals for these local quantiles no matter the (unknown) underlying distribution. Another method, namely, the Quantile Rejection method, achieves finite sample validity under no assumption whatsoever. We conduct extensive numerical studies demonstrating that both of these methods are valid. In particular, we show that the Weighted Quantile procedure achieves nominal coverage as soon as the effective sample size is in the range of 10 to 20.

Keywords

Cite

@article{arxiv.2307.08594,
  title  = {Tight Distribution-Free Confidence Intervals for Local Quantile Regression},
  author = {Jayoon Jang and Emmanuel Candès},
  journal= {arXiv preprint arXiv:2307.08594},
  year   = {2024}
}

Comments

50 pages, 46 figures

R2 v1 2026-06-28T11:32:38.502Z