Conditional density estimation using the local Gaussian correlation

DOI10.1007/S11222-017-9732-ZzbMATH Open1384.62127OpenAlexW2588137811MaRDI QIDQ1702011FDOQ1702011

Authors: Håkon Otneim, Dag Tjøstheim 

Publication date: 27 February 2018

Published in: Statistics and Computing (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11222-017-9732-z

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zbMATH Keywords

conditional density estimationcross-validationmultivariate datalocal likelihood

Mathematics Subject Classification ID

Density estimation (62G07) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Estimation in multivariate analysis (62H12) Applications of statistics to environmental and related topics (62P12)

Cites Work

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• Some Properties of Local Gaussian Correlation and Other Nonlinear Dependence Measures
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Cited In (12)

• Explaining predictive models using Shapley values and non-parametric vine copulas
• Nonlinear Spectral Analysis: A Local Gaussian Approach
• Testing for time-varying nonlinear dependence structures: regime-switching and local Gaussian correlation
• The Locally Gaussian Partial Correlation
• Estimating and Testing Nonlinear Local Dependence Between Two Time Series
• Recognizing and visualizing copulas: an approach using local Gaussian approximation
• Non compact estimation of the conditional density from direct or noisy data
• Title not available (Why is that?)
• On the Multivariate Conditional Probability Density of a Vector Perturbed by Gaussian Noise
• Projection pursuit estimator for multivariate conditional densities
• Statistical dependence: beyond Pearson's \(\rho\)
• Pairwise local Fisher and naive Bayes: improving two standard discriminants

Uses Software

• R
• np

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