Estimation of conditional densities and sensitivity measures in nonlinear dynamical systems
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Publication:3837348
DOI10.1093/BIOMET/83.1.189zbMATH Open0865.62026OpenAlexW2151572595MaRDI QIDQ3837348FDOQ3837348
Authors: Qiwei Yao, Howell Tong, Jianqing Fan 
Publication date: 8 December 1996
Published in: Biometrika (Search for Journal in Brave)
Full work available at URL: http://eprints.lse.ac.uk/6704/
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asymptotic normalitynonlinear time seriespartial derivativesbandwidth selectionconditional densityFisher informationKullback-Leibler informationmeasures of sensitivitynonlinear stochastic dynamic systemslocally polynomial regressioninitial-value sensitivity
Density estimation (62G07) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)
Cited In (only showing first 100 items - show all)
- Partial sufficient dimension reduction on additive rates model for recurrent event data with high-dimensional covariates
- Asymptotic normality in conditional wavelet density with left-truncated \(\alpha \)-mixing observations
- Direct estimation of the derivative of quadratic mutual information with application in supervised dimension reduction
- Asymptotic normality of the local linear estimation of the conditional density for functional time-series data
- Intra-distribution dynamics of regional per-capita income in Europe: evidence from alternative conditional
- Modeling persistent trends in distributions
- Explaining predictive models using Shapley values and non-parametric vine copulas
- Boundary adaptive local polynomial conditional density estimators
- Estimation of nonseparable models with censored dependent variables and endogenous regressors
- Nonparametric estimation of a conditional density
- Bandwidth selection for nonparametric modal regression
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- A note on asymptotic normality of a copula function in regression model
- Kernel methods for estimating derivatives of conditional quantiles
- Modal regression using kernel density estimation: a review
- A note on nonparametric estimation of circular conditional densities
- Semiparametric Estimation of First-Price Auction Models
- Non compact estimation of the conditional density from direct or noisy data
- Modeling the population mean outcome trajectory in observational studies with varying time to intervention
- Multivariate distribution correction of climate model outputs: a generalization of quantile mapping approaches
- Econometric modeling of risk measures: a selective review of the recent literature
- Functional Response Quantile Regression Model
- Minimax optimal conditional density estimation under total variation smoothness
- Density Regression with Conditional Support Points
- Goodness-of-Fit Test in Multivariate Jump Diffusion Models
- Nonlinear wavelet estimation of conditional density under left-truncated and \(\alpha\)-mixing assumptions
- On the single-index model estimate of the conditional density function: consistency and implementation
- Nonparametric smooth estimation of the expected inactivity time function
- Maximum likelihood method for bandwidth selection in kernel conditional density estimate
- A nonparametric estimation of the conditional ageing intensity function in censored data: a local linear approach
- Assessing heterogeneity in treatment initiation guidelines in longitudinal randomized controlled trials
- Local linear double and asymmetric kernel estimation of conditional quantiles
- On the nonparametric smooth estimation of the reversed hazard rate function
- Empirical likelihood for conditional density under left truncation and \(\alpha \)-mixing condition
- On projection-type estimators of multivariate isotonic functions
- Kernel-based hidden Markov conditional densities
- Estimating quantiles in imperfect simulation models using conditional density estimation
- Weighted local polynomial estimations of a non-parametric function with censoring indicators missing at random and their applications
- Common threshold in quantile regressions with an application to pricing for reputation
- Conditional density estimation using the local Gaussian correlation
- Semiparametric methods in nonlinear time series analysis: a selective review
- Dynamic Modeling of Conditional Quantile Trajectories, With Application to Longitudinal Snippet Data
- Kernel estimation of conditional density with truncated, censored and dependent data
- Nonparametric Conditional Density Estimation Using Piecewise-Linear Solution Path of Kernel Quantile Regression
- Conditional quantile estimation by local logistic regression
- Nonparametric conditional quantile estimation: a locally weighted quantile kernel approach
- Nonparametric estimation of conditional VaR and expected shortfall
- Filter-type variable selection based on information measures for regression tasks
- Functional local linear estimate for functional relative-error regression
- Discovering interactions using covariate informed random partition models
- A Deep Generative Approach to Conditional Sampling
- A consistent nonparametric Bayesian procedure for estimating autoregressive conditional den\-sities
- Adaptive recursive kernel conditional density estimators under censoring data
- Bootstrap confidence bands and partial linear quantile regression
- A weighted estimator of conditional hazard rate with left-truncated and dependent data
- Non-parametric estimation of mutual information through the entropy of the linkage
- Dimension reduction based on conditional multiple index density function
- Nonparametric inference with generalized likelihood ratio tests (With comments and rejoinder)
- Approximating conditional density functions using dimension reduction
- Specification testing for transformation models with an application to generalized accelerated failure-time models
- Estimating the conditional density by histogram type estimators and model selection
- Hazard function given a functional variable: Non-parametric estimation under strong mixing conditions
- Adaptive pointwise estimation of conditional density function
- Estimation in a class of nonlinear heteroscedastic time series models
- Nonparametric conditional hazard rate estimation: a local linear approach
- Estimating distributions of potential outcomes using local instrumental variables with an application to changes in college enrollment and wage inequality
- A local linear estimation of conditional hazard function in censored data
- Non-Crossing Non-Parametric Estimates of Quantile Curves
- Theoretical and practical aspects of the quadratic error in the local linear estimation of the conditional density for functional data
- Adaptive Bayesian density regression for high-dimensional data
- Bandwidth selection for kernel conditional density estimation.
- Confidence bands in quantile regression
- Adaptive Estimation of a Conditional Density
- Regression analysis for the additive hazards model with covariate errors
- Nonparametric conditional efficiency measures: asymptotic properties
- Linearity testing using local polynomial approximation
- Absorption of shocks in nonlinear autoregressive models
- A kernel-based parametric method for conditional density estimation
- Direct conditional probability density estimation with sparse feature selection
- Local linear estimation of residual entropy function of conditional distributions
- Nonparametric inference for conditional quantiles of time series
- Variation-based tests for volatility misspecification
- Fast kernel conditional density estimation: a dual-tree Monte Carlo approach
- Smooth copula-based estimation of the conditional density function with a single covariate
- Efficient estimation in sufficient dimension reduction
- Conditional density estimation with covariate measurement error
- Smoothed kernel conditional density estimation
- A constructive approach to the estimation of dimension reduction directions
- Bernstein conditional density estimation with application to conditional distribution and regression functions
- Nonparametric Estimation and Symmetry Tests for Conditional Density Functions
- A tale of two option markets: pricing kernels and volatility risk
- Posterior consistency in conditional distribution estimation
- Robust estimating equation-based sufficient dimension reduction
- Kernel conditional density estimation when the regressor is valued in a semi-metric space
- Conditional density estimation and simulation through optimal transport
- On the local linear modelization of the conditional distribution for functional data
- A test for model specification of diffusion processes
- A selective overview of nonparametric methods in financial econometrics
- Warped bases for conditional density estimation
- Nonparametric tests of the Markov hypothesis in continuous-time models
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