Abstract
Quantile regression provides a powerful tool for summarizing the conditional distribution of a real-valued random variable (r.v.) of interest as a function of covariates in cases where it shows a large dispersion with high probability, going beyond the situation where standard least square regression is informative/predictive. This article aims to extend this methodology to the pairwise setting, where the variable to be explained is a similarity score between two independent observations (e.g., pixelated ID photos used as input to biometric systems), and the explanatory variables consist of the pair of covariates attached to these observations, such as age or hair color. We establish theoretical guarantees for solutions of this statistical learning problem, considered here as empirical minimizers of a pairwise version of the pinball loss. Leveraging sharp concentration results for -processes, we prove generalization bounds and identify mild conditions under which fast learning rates can be achieved. Confirming the probabilistic analysis, experiments based on simulation data also provide solid empirical evidence of the validity of the methodology promoted here for pairwise quantile regression. Finally, its usefulness from an application perspective is demonstrated by a detailed study aimed at analyzing errors in similarity scoring for facial recognition.