Oracle inequality for conditional density estimation and an actuarial example

DOI10.1007/S10463-008-0185-1MaRDI QIDQ904089zbMATH OpenOpenAlexFDO

Authors Sam Efromovich

Publication date 15 January 2016

Published in Annals of the Institute of Statistical Mathematics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s10463-008-0185-1

zbMATH Keywords

dimension reductionnonparametric regressionMISEfixed and random design

Mathematics Subject Classification ID

Density estimation (62G07) Nonparametric regression and quantile regression (62G08) Asymptotic properties of nonparametric inference (62G20) Applications of statistics to actuarial sciences and financial mathematics (62P05)

Recommendations

• Empirical Bayes conditional density estimation
• Conditional density estimation in a regression setting
• Oracle inequalities for probability density estimations
• Estimating the conditional density by histogram type estimators and model selection
• Dimension reduction and adaptation in conditional density estimation

Cites work

• scientific article; zbMATH DE number 991833 (Why is no real title available?)
• scientific article; zbMATH DE number 3862231 (Why is no real title available?)
• scientific article; zbMATH DE number 177226 (Why is no real title available?)
• scientific article; zbMATH DE number 1306459 (Why is no real title available?)
• Conditional density estimation in a regression setting
• Conditional specification of statistical models.
• Design-adaptive Nonparametric Regression
• Estimation of the density of regression errors
• Goodness-of-fit testing in regression: a finite sample comparison of bootstrap methodology and Khmaladze transformation
• Nonparametric Estimation of a Density of Unknown Smoothness
• Nonparametric curve estimation. Methods, theory, and applications
• On sharp adaptive estimation of multivariate curves

Cited in

(9)

• Empirical Bayes conditional density estimation
• Warped bases for conditional density estimation
• Conditional density estimation in a regression setting
• Two-stage conditional density estimation based on Bernstein polynomials
• Oracle inequalities for probability density estimations
• Optimal plug-in estimators for multivariate distributions with conditionally independent components
• Adaptive pointwise estimation of conditional density function
• Non compact estimation of the conditional density from direct or noisy data
• Inhomogeneous and anisotropic conditional density estimation from dependent data

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