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| Auteurs principaux: | , |
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| Format: | Preprint |
| Publié: |
2024
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| Accès en ligne: | https://arxiv.org/abs/2411.07957 |
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| _version_ | 1866909386447781888 |
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| author | Guillaumin, Arthur P. Efremova, Natalia |
| author_facet | Guillaumin, Arthur P. Efremova, Natalia |
| contents | This paper addresses non-Gaussian regression with neural networks via the use of the Tukey g-and-h distribution.The Tukey g-and-h transform is a flexible parametric transform with two parameters $g$ and $h$ which, when applied to a standard normal random variable, introduces both skewness and kurtosis, resulting in a distribution commonly called the Tukey g-and-h distribution. Specific values of $g$ and $h$ produce good approximations to other families of distributions, such as the Cauchy and student-t distributions. The flexibility of the Tukey g-and-h distribution has driven its popularity in the statistical community, in applied sciences and finance. In this work we consider the training of a neural network to predict the parameters of a Tukey g-and-h distribution in a regression framework via the minimization of the corresponding negative log-likelihood, despite the latter having no closed-form expression. We demonstrate the efficiency of our procedure in simulated examples and apply our method to a real-world dataset of global crop yield for several types of crops. Finally, we show how we can carry out a goodness-of-fit analysis between the predicted distributions and the test data. A Pytorch implementation is made available on Github and as a Pypi package. |
| format | Preprint |
| id |
arxiv_https___arxiv_org_abs_2411_07957 |
| institution | arXiv |
| publishDate | 2024 |
| record_format | arxiv |
| spellingShingle | Tukey g-and-h neural network regression for non-Gaussian data Guillaumin, Arthur P. Efremova, Natalia Machine Learning This paper addresses non-Gaussian regression with neural networks via the use of the Tukey g-and-h distribution.The Tukey g-and-h transform is a flexible parametric transform with two parameters $g$ and $h$ which, when applied to a standard normal random variable, introduces both skewness and kurtosis, resulting in a distribution commonly called the Tukey g-and-h distribution. Specific values of $g$ and $h$ produce good approximations to other families of distributions, such as the Cauchy and student-t distributions. The flexibility of the Tukey g-and-h distribution has driven its popularity in the statistical community, in applied sciences and finance. In this work we consider the training of a neural network to predict the parameters of a Tukey g-and-h distribution in a regression framework via the minimization of the corresponding negative log-likelihood, despite the latter having no closed-form expression. We demonstrate the efficiency of our procedure in simulated examples and apply our method to a real-world dataset of global crop yield for several types of crops. Finally, we show how we can carry out a goodness-of-fit analysis between the predicted distributions and the test data. A Pytorch implementation is made available on Github and as a Pypi package. |
| title | Tukey g-and-h neural network regression for non-Gaussian data |
| topic | Machine Learning |
| url | https://arxiv.org/abs/2411.07957 |