Nonparametric conditional predictive regions for time series

DOI10.1016/S0167-9473(99)00056-0MaRDI QIDQ1575208zbMATH OpenOpenAlexFDO

Authors Jan G. De Gooijer, Ali Gannoun

Publication date 21 August 2000

Published in Computational Statistics and Data Analysis (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/s0167-9473(99)00056-0

zbMATH Keywords

conditional meanconditional medianconditional modecross-validationkernel methodsMarkovian processesmaximum conditional density region (MCDR)nonparametric predictionshortest conditional modal interval (SCMI)

Mathematics Subject Classification ID

Nonparametric regression and quantile regression (62G08) Inference from stochastic processes and prediction (62M20)

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Cites work

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• KERNEL REGRESSION SMOOTHING OF TIME SERIES
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Cited in

(18)

• Nonparametric prediction by conditional median and quantiles
• A simple test for multivariate conditional symmetry
• On the local linear modelization of the conditional distribution for functional data
• Conditional hazard estimate for functional random fields
• Data-driven \(k\)NN estimation in nonparametric functional data analysis
• Kernel conditional density estimation when the regressor is valued in a semi-metric space
• Distribution-Free Runs Test for Conditional Symmetry
• Nonparametric forecasting: a comparison of three kernel-based methods
• MULTI-STAGE KERNEL-BASED CONDITIONAL QUANTILE PREDICTION IN TIME SERIES
• Conditional Minimum Volume Predictive Regions for Stochastic Processes
• Semiparametric model average prediction in panel data analysis
• Nonparametric Estimation and Symmetry Tests for Conditional Density Functions
• A functional conditional symmetry test for a GARCH-SM model: Power asymptotic properties
• FDA: theoretical and practical efficiency of the local linear estimation based on the kNN smoothing of the conditional distribution when there are missing data
• Multivariate distribution correction of climate model outputs: a generalization of quantile mapping approaches
• A robust nonparametric test for conditional symmetry in high dimension
• Infectious disease prediction with kernel conditional density estimation
• Complexity-penalized estimation of minimum volume sets for dependent data

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