Learning the cumulative distribution function (CDF) of an outcome variable conditional on a set of features remains challenging, especially in high-dimensional settings. Conditional transformation models provide a semi-parametric approach that allows to model a large class of conditional CDFs without an explicit parametric distribution assumption and with only a few parameters. Existing estimation approaches within this class are, however, either limited in their complexity and applicability to unstructured data sources such as images or text, lack interpretability, or are restricted to certain types of outcomes. We close this gap by introducing the class of deep conditional transformation models which unifies existing approaches and allows to learn both interpretable (non-)linear model terms and more complex neural network predictors in one holistic framework. To this end we propose a novel network architecture, provide details on different model definitions and derive suitable constraints as well as network regularization terms. We demonstrate the efficacy of our approach through numerical experiments and applications.
翻译:有条件转换模型提供半参数方法,允许在没有明确的参数分布假设和仅有几个参数的情况下模拟一大批有条件的CDF, 然而,这一类中现有的估算方法要么其复杂性和对图象或文字等非结构化数据源的适用性有限,要么缺乏解释性,或者局限于某些类型的结果。我们通过引入深度有条件转换模型来弥补这一差距,这些模型将现有方法统一起来,并能够在一个整体框架内学习可解释(非线性)的模型术语和更复杂的神经网络预测器。我们为此提出一个新的网络结构,提供不同模型定义的细节,并提出适当的制约因素和网络正规化术语。我们通过数字实验和应用来展示我们的方法的有效性。