Applying ensemble learning to quantile regression?

Question

Is it desirable / possible to apply ensemble learning methods (boosting, bagging, etc) to the quantile regression problem?

Answer 1

Yes, and in fact this has been addressed in the literature. Quantile random forests adapt the random forest framework for quantile regression and the author provides consistency proofs. There is an R package implementing the technique as well here.

In terms of desirability, ensembles will help with the bias/variance problem for quantile regression just as well as predicting the mean.