Deep Conditional Transformation Models

10/15/2020 ∙ by Philipp F. M. Baumann, et al. ∙ 25 ∙ share

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 the class of transformation models are, however, either limited in their complexity and applicability to unstructured data sources such as images or text, or can incorporate complex effects of different features but lack interpretability. We close this gap by introducing the class of deep conditional transformation models which unify existing approaches and allow to learn both interpretable (non-)linear model terms and more complex predictors in one holistic neural network. To this end we propose a novel network architecture, provide details on different model definitions and derive suitable constraints and derive suitable network regularization terms. We demonstrate the efficacy of our approach through numerical experiments and applications.

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