Prediction via the Quantile-Copula Conditional Density Estimator

Faugeras, Olivier (2012) Prediction via the Quantile-Copula Conditional Density Estimator. Communications in Statistics - Theory and Method, vol. 41 (n° 1). pp. 16-33.

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Official URL: http://tse-fr.eu/pub/25542

Abstract

To make a prediction of a response variable from an explanatory one which takes into account features such as multimodality, a nonparametric approach based on an estimate of the conditional density is advocated and considered. In particular, we build point and interval predictors based on the quantile-copula estimator of the conditional density by Faugeras (20098. Faugeras , O. P. ( 2009 ). A quantile-copula approach to conditional density estimation . J. Multivariate Anal. 100 ( 9 ): 2083 – 2099 . View all references). The consistency of these predictors is proved through a uniform consistency result of the conditional density estimator. Eventually, the practical implementation of these predictors is discussed. A simulation on a real data set illustrates the proposed methods.

Item Type: Article
Language: English
Date: 2012
Refereed: Yes
Subjects: B- ECONOMIE ET FINANCE
Divisions: TSE-R (Toulouse)
Site: UT1
Date Deposited: 09 Jul 2014 17:23
Last Modified: 29 Mar 2018 13:13
OAI ID: oai:tse-fr.eu:25542
URI: http://publications.ut-capitole.fr/id/eprint/15204

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