A Multivariate Quantile Predictor

DOI10.1080/03610920500439570MaRDI QIDQ5201479zbMATH OpenOpenAlexFDO

Authors Jan G. De Gooijer, Ali Gannoun, Dawit Zerom

Publication date 19 April 2006

Published in Communications in Statistics: Theory and Methods (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/03610920500439570

zbMATH Keywords

conditional quantilejoint-horizon predictionkernelmultivariatesingle-horizon predictiontime series

Mathematics Subject Classification ID

Nonparametric regression and quantile regression (62G08) Asymptotic properties of nonparametric inference (62G20) Multivariate analysis (62H99) Inference from stochastic processes and prediction (62M20) Applications of statistics to actuarial sciences and financial mathematics (62P05)

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Cites work

• A CENTRAL LIMIT THEOREM AND A STRONG MIXING CONDITION
• A counterexample on the existence of the \(L_ 1\)-median
• A note on prediction via estimation of the conditional mode function
• Asymptotic distribution of data‐driven smoothers in density and regression estimation under dependence
• Conditional empirical processes
• Descriptive statistics for multivariate distributions
• Estimation of conditional L₁-median from dependent observations
• Local Linear Quantile Regression
• MULTI-STAGE KERNEL-BASED CONDITIONAL QUANTILE PREDICTION IN TIME SERIES
• Nonparametric vector autoregression
• Note on the spatial quantile of a random vector
• Quantile functions for multivariate analysis: approaches and applications
• Regression Quantiles

Cited in

(7)

• Nonparametric multivariate \(L_{1}\)-median regression estimation with functional covariates
• Vector-on-function quantile regression for stationary ergodic processes
• On the \(u\)\,th geometric conditional quantile
• Design-based estimation for geometric quantiles with application to outlier detection
• On the serial correlation in multi-horizon predictive quantile regression
• A multivariate quantile based on Kendall ordering
• Multivariate spatial conditional U-quantiles: a Bahadur-Kiefer representation

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