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Quantile Regression Learner with SE Prediction

Source: R/LearnerRegrQuantileSE.R
mlr_learners_regr.quantile_se.Rd

Wraps a quantile regression learner and converts quantile predictions to SE.

Creates a new instance of this R6 class.

Arguments

learner

(mlr3::LearnerRegr)
Base quantile learner. Must support predict_type = "quantiles".

Details

This learner:

  1. Trains a base learner that supports quantile predictions

  2. predicts lower and upper quantiles

  3. SE prediction is the inter-quantile range multiplied by a factor

Parameters

The base learner's parameters are exposed with the base. prefix.

Own parameters:

  • quantile_response :: numeric(1)
    Quantile response to use for the prediction. Initialized to 0.5 (median).

  • quantile_lower :: numeric(1)
    Lower quantile for SE estimation. Initialized to 0.1 (10th percentile).

  • quantile_upper :: numeric(1)
    Upper quantile for SE estimation. Initialized to 0.9 (90th percentile).

  • se_factor :: numeric(1) | NULL
    Factor to multiply the inter-quantile range to get the SE. The default NULL uses the normal-consistent factor 1 / (qnorm(quantile_upper) - qnorm(quantile_lower)), so that under an approximately Gaussian predictive the SE estimates the predictive SD.

Fields