Hydrological post-processing using quantile regression algorithms constitutes a prime means of estimating the uncertainty of hydrological predictions. Nonetheless, conventional large-sample theory for quantile regression does not apply sufficiently far in the tails of the probability distribution of the dependent variable. To overcome this limitation that could be crucial when the interest lies on flood events, hydrological post-processing through extremal quantile regression is introduced here for estimating the extreme quantiles of hydrological model's responses. In summary, the new hydrological post-processing method exploits properties of the Hill's estimator from the extreme value theory to extrapolate quantile regression's predictions to high quantiles. As a proof of concept, the new method is here tested in post-processing daily streamflow simulations provided by three process-based hydrological models for 180 basins in the contiguous United States (CONUS) and is further compared to conventional quantile regression. With this large-scale comparison, it is demonstrated that hydrological post-processing using conventional quantile regression severely underestimates high quantiles (at the quantile level 0.9999) compared to hydrological post-processing using extremal quantile regression, although both methods are equivalent at lower quantiles (at the quantile level 0.9700). Moreover, it is shown that, in the same context, extremal quantile regression estimates the high predictive quantiles with efficiency that is, on average, equivalent in the large-sample study for the three process-based hydrological models.
We introduce an ensemble learning post-processing methodology for probabilistic hydrological modelling. This methodology generates numerous point predictions by applying a single hydrological model, yet with different parameter values drawn from the respective simulated posterior distribution. We call these predictions "sister predictions". Each sister prediction extending in the period of interest is converted into a probabilistic prediction using information about the hydrological model's errors. This information is obtained from a preceding period for which observations are available, and i…
Predictive hydrological uncertainty can be quantified by using ensemble methods. If properly formulated, these methods can offer improved predictive performance by combining multiple predictions. In this work, we use 50-year-long monthly time series observed in 270 catchments in the United States to explore the performances provided by an ensemble learning post-processing methodology for issuing probabilistic hydrological predictions. This methodology allows the utilization of flexible quantile regression models for exploiting information about the hydrological model's error. Its key differenc…
We investigate different methods for regularizing quantile regression when predicting either a subset of quantiles or the full inverse CDF. We show that minimizing an expected pinball loss over a continuous distribution of quantiles is a good regularizer even when only predicting a specific quantile. For predicting multiple quantiles, we propose achieving the classic goal of non-crossing quantiles by using deep lattice networks that treat the quantile as a monotonic input feature, and we discuss why monotonicity on other features is an apt regularizer for quantile regression. We show that latt…
Toyota Technological Institute（丰田技术学院）；IBM T. J. Watson Research Center（IBM托马斯·J·沃森研究中心）；Universidade Federal Fluminense（弗鲁米嫩塞联邦大学）
We show how to reduce the process of predicting general order statistics (and the median in particular) to solving classification. The accompanying theoretical statement shows that the regret of the classifier bounds the regret of the quantile regression under a quantile loss. We also test this reduction empirically against existing quantile regression methods on large real-world datasets and discover that it provides state-of-the-art performance.
Quantile regression, the prediction of conditional quantiles, finds applications in various fields. Often, some or all of the variables are discrete. The authors propose two new quantile regression approaches to handle such mixed discrete-continuous data. Both of them generalize the continuous D-vine quantile regression, where the dependence between the response and the covariates is modeled by a parametric D-vine. D-vine quantile regression provides very flexible models, that enable accurate and fast predictions. Moreover, it automatically takes care of major issues of classical quantile regr…
Regional frequency analysis is an important tool to properly estimate hydrological characteristics at ungauged or partially gauged sites in order to prevent hydrological disasters. The delineation of homogeneous groups of sites is an important first step in order to transfer information and obtain accurate quantile estimates at the target site. The Hosking-Wallis homogeneity test is usually used to test the homogeneity of the selected sites. Despite its usefulness and good power, it presents some drawbacks including the subjective choice of a parametric distribution for the data and a poorly j…
In this paper, we consider estimation of the conditional mode of an outcome variable given regressors. To this end, we propose and analyze a computationally scalable estimator derived from a linear quantile regression model and develop asymptotic distributional theory for the estimator. Specifically, we find that the pointwise limiting distribution is a scale transformation of Chernoff's distribution despite the presence of regressors. In addition, we consider analytical and subsampling-based confidence intervals for the proposed estimator. We also conduct Monte Carlo simulations to assess the…
Quantile Regression (QR) provides a way to approximate a single conditional quantile. To have a more informative description of the conditional distribution, QR can be merged with deep learning techniques to simultaneously estimate multiple quantiles. However, the minimisation of the QR-loss function does not guarantee non-crossing quantiles, which affects the validity of such predictions and introduces a critical issue in certain scenarios. In this article, we propose a generic deep learning algorithm for predicting an arbitrary number of quantiles that ensures the quantile monotonicity const…
University of Illinois at Urbana-Champaign（伊利诺伊大学厄巴纳-香槟分校）；MIT（麻省理工学院）
We develop Temporal Quantile Adjustment (TQA), a general method to construct efficient and valid prediction intervals (PIs) for regression on cross-sectional time series data. Such data is common in many domains, including econometrics and healthcare. A canonical example in healthcare is predicting patient outcomes using physiological time-series data, where a population of patients composes a cross-section. Reliable PI estimators in this setting must address two distinct notions of coverage: cross-sectional coverage across a cross-sectional slice, and longitudinal coverage along the temporal …
In using multiple regression methods for prediction, one often considers the linear combination of explanatory variables as an index. Seeking a single such index when here are multiple responses is rather more complicated. One classical approach is to use the coefficients from the leading canonical correlation. However, methods based on variances are unable to disaggregate responses by quantile effects, lack robustness, and rely on normal assumptions for inference. We develop here an alternative regression quantile approach and apply it to an empirical study of the performance of large publicl…
Heterogeneous Image-based Classification Using Distributional Data Analysis
MD Anderson Cancer Center（MD安德森癌症中心）；UT Southwestern Medical Center（西南医学中心）；UC Davis Comprehensive Cancer Center（加州大学戴维斯分校综合癌症中心）；Baylor College of Medicine（贝勒医学院）
This work has been motivated by the challenge of the 2017 conference on Extreme-Value Analysis (EVA2017), with the goal of predicting daily precipitation quantiles at the $99.8\%$ level for each month at observed and unobserved locations. We here develop a Bayesian generalized additive modeling framework tailored to estimate complex trends in marginal extremes observed over space and time. Our approach is based on a set of regression equations linked to the exceedance probability above a high threshold and to the size of the excess, the latter being modeled using the generalized Pareto (GP) di…
