Gradient boosting for extreme quantile regression

被引:19
|
作者
Velthoen, Jasper [1 ]
Dombry, Clement [2 ]
Cai, Juan-Juan [3 ]
Engelke, Sebastian [4 ]
机构
[1] Delft Univ Technol, Dept Appl Math, Mekelweg 4, NL-2628 CD Delft, Netherlands
[2] Univ Bourgogne Franche Comte, Lab Math Besancon, CNRS UMR 6623, F-25000 Besancon, France
[3] Vrije Univ Amsterdam, Dept Econometr & Data Sci, Boelelaan 1105, NL-1081 HV Amsterdam, Netherlands
[4] Univ Geneva, Res Ctr Stat, Blvd Pont dArve 40, CH-1205 Geneva, Switzerland
基金
瑞士国家科学基金会;
关键词
Extreme quantile regression; Gradient boosting; Generalized Pareto distribution; Extreme value theory; Tree-based methods;
D O I
10.1007/s10687-023-00473-x
中图分类号
O1 [数学];
学科分类号
0701 ; 070101 ;
摘要
Extreme quantile regression provides estimates of conditional quantiles outside the range of the data. Classical quantile regression performs poorly in such cases since data in the tail region are too scarce. Extreme value theory is used for extrapolation beyond the range of observed values and estimation of conditional extreme quantiles. Based on the peaks-over-threshold approach, the conditional distribution above a high threshold is approximated by a generalized Pareto distribution with covariate dependent parameters. We propose a gradient boosting procedure to estimate a conditional generalized Pareto distribution by minimizing its deviance. Cross-validation is used for the choice of tuning parameters such as the number of trees and the tree depths. We discuss diagnostic plots such as variable importance and partial dependence plots, which help to interpret the fitted models. In simulation studies we show that our gradient boosting procedure outperforms classical methods from quantile regression and extreme value theory, especially for high-dimensional predictor spaces and complex parameter response surfaces. An application to statistical post-processing of weather forecasts with precipitation data in the Netherlands is proposed.
引用
收藏
页码:639 / 667
页数:29
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