Distributional regression: CRPS-error bounds for model fitting, model selection and convex aggregation

Dombry Clement, Ahmed Zaoui

Keywords: distributional regression; error bounds; concentration inequality; continuous rank probability score; empirical risk minimization

TL;DR: We provide concentration inequalities for the CRPS-error in distributional regression when empirical risk minimization is used for model fitting, model selection or convex aggregation.

Abstract: Distributional regression aims at estimating the conditional distribution of a target variable given explanatory co-variates. It is a crucial tool for forecasting when a precise uncertainty quantification is required. A popular methodology consists in fitting a parametric model via empirical risk minimization where the risk is measured by the Continuous Rank Probability Score (CRPS). For independent and identically distributed observations, we provide a concentration result for the estimation error and an upper bound for its expectation. Furthermore, we consider model selection performed by minimization of the validation error and provide a concentration bound for the regret. A similar result is proved for convex aggregation of models. Finally, we show that our results may be applied to various models such as EMOS, distributional regression networks, distributional nearest neighbours or distributional random forests and we illustrate our findings on two data sets (QSAR aquatic toxicity and Airfoil self-noise).

Primary Area: Learning theory

Submission Number: 6334