Deep Learning for Quantile Regression: DeepQuantreg

The computational prediction algorithm of neural network, or deep learning, has drawn much attention recently in statistics as well as in image recognition and natural language processing. Particularly in statistical application for censored survival data, the loss function used for optimization has been mainly based on the partial likelihood from Cox's model and its variations to utilize existing neural network library such as Keras, which was built upon the open source library of TensorFlow. This paper presents a novel application of the neural network to the quantile regression for survival data with right censoring, which is adjusted by the inverse of the estimated censoring distribution in the check function. The main purpose of this work is to show that the deep learning method could be flexible enough to predict nonlinear patterns more accurately compared to the traditional method even in low-dimensional data, emphasizing on practicality of the method for censored survival data. Simulation studies were performed to generate nonlinear censored survival data and compare the deep learning method with the traditional quantile regression method in terms of prediction accuracy. The proposed method is illustrated with a publicly available breast cancer data set with gene signatures. The source code is freely available at https://github.com/yicjia/DeepQuantreg.