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Faugeras, Olivier (2009) Prediction via the Quantile-Copula Conditional Density Estimator. TSE Working Paper, n. 09-124, Toulouse
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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 [8]. 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: | Monograph (Working Paper) |
|---|---|
| Language: | English |
| Date: | 7 December 2009 |
| Place of Publication: | Toulouse |
| Uncontrolled Keywords: | nonparametric estimation, modal regressor, level-set |
| Subjects: | B- ECONOMIE ET FINANCE |
| Divisions: | TSE-R (Toulouse) |
| Institution: | Université Toulouse 1 Capitole |
| Site: | UT1 |
| Date Deposited: | 18 Jan 2012 06:01 |
| Last Modified: | 19 Mar 2018 15:19 |
| OAI Identifier: | oai:tse-fr.eu:22247 |
| URI: | https://publications.ut-capitole.fr/id/eprint/3275 |
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