Generalized Neural Distributional Regression

Abstract

We introduce the Generalized Neural Distributional Regression (GNDR) framework, which seamlessly embeds deep neural networks into the parameter space of classical probability distributions. To reconcile the inherent non-identifiability of deep architectures with maximum likelihood theory, we propose a two-step semi-parametric estimation procedure. By isolating the terminal prediction heads and treating the upstream network as a fixed, non-linear basis expansion, GNDR enables the extraction of analytical Fisher Information matrices. This facilitates rigorous uncertainty quantification, generating observation-specific confidence bands and tolerance intervals via the multivariate Delta method. We demonstrate the framework's versatility and superior distributional calibration across diverse data modalities, including overdispersed clinical counts, right-censored transcriptomic survival profiles under a mixture cure framework, and zero-truncated age distributions derived directly from unstructured facial images. The methodology is natively implemented in the open-source Python package \textit{thetaflow}.