Estimation of conditional densities and sensitivity measures in nonlinear dynamical systems

DOI10.1093/biomet/83.1.189zbMath0865.62026OpenAlexW2151572595MaRDI QIDQ3837348

Howell Tong, Qiwei Yao, 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/

zbMATH Keywords

asymptotic normalityFisher informationKullback-Leibler informationconditional densitybandwidth selectionnonlinear time seriespartial derivativesmeasures of sensitivitynonlinear stochastic dynamic systemslocally polynomial regressioninitial-value sensitivity

Mathematics Subject Classification ID

Density estimation (62G07) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Related Items

Adaptive Estimation of a Conditional Density, Non compact estimation of the conditional density from direct or noisy data, On the nonparametric smooth estimation of the reversed hazard rate function, Dimension reduction based on conditional multiple index density function, Non-parametric estimation of mutual information through the entropy of the linkage, NONLINEAR WAVELET ESTIMATION OF CONDITIONAL DENSITY UNDER LEFT-TRUNCATED AND α-MIXING ASSUMPTIONS, Theoretical and practical aspects of the quadratic error in the local linear estimation of the conditional density for functional data, Asymptotic normality in conditional wavelet density with left-truncated α-mixing observations, Adaptive pointwise estimation of conditional density function, Nonparametric estimation of conditional VaR and expected shortfall, Estimating distributions of potential outcomes using local instrumental variables with an application to changes in college enrollment and wage inequality, Efficient estimation in local parametric regression analysis, A quantile-copula approach to conditional density estimation, Nonparametric Estimation and Symmetry Tests for Conditional Density Functions, A selective overview of nonparametric methods in financial econometrics, Regression Analysis for the Additive Hazards Model with Covariate Errors, Modeling Persistent Trends in Distributions, Minimax optimal conditional density estimation under total variation smoothness, Nonparametric estimation of a conditional density, Asymptotic normality of conditional density estimation under truncated, censored and dependent data, Unnamed Item, Local linear estimation of residual entropy function of conditional distributions, Nonparametric conditional quantile estimation: a locally weighted quantile kernel approach, On the single-index model estimate of the conditional density function: consistency and implementation, Smoothed kernel conditional density estimation, Nonparametric tests of the Markov hypothesis in continuous-time models, Posterior consistency in conditional distribution estimation, Kernel estimation of conditional density with truncated, censored and dependent data, A kernel-based parametric method for conditional density estimation, Estimating the conditional density by histogram type estimators and model selection, Functional Response Quantile Regression Model, A Deep Generative Approach to Conditional Sampling, Filter-type variable selection based on information measures for regression tasks, A tale of two option markets: pricing kernels and volatility risk, Nonparametric smooth estimation of the expected inactivity time function, Bootstrap confidence bands and partial linear quantile regression, Variation-based tests for volatility misspecification, Estimation in a class of nonlinear heteroscedastic time series models, A weighted estimator of conditional hazard rate with left-truncated and dependent data, Conditional density estimation using the local Gaussian correlation, Hazard function given a functional variable: Non-parametric estimation under strong mixing conditions, Warped bases for conditional density estimation, Optimized fixed-size kernel models for large data sets, Fast kernel conditional density estimation: a dual-tree Monte Carlo approach, Direct Estimation of the Derivative of Quadratic Mutual Information with Application in Supervised Dimension Reduction, Specification testing for transformation models with an application to generalized accelerated failure-time models, Discovering interactions using covariate informed random partition models, Explaining predictive models using Shapley values and non-parametric vine copulas, NONPARAMETRIC INFERENCE FOR CONDITIONAL QUANTILES OF TIME SERIES, Empirical Likelihood for Conditional Density Under Left Truncation and α-Mixing Condition, Unnamed Item, Asymptotic normality of the local linear estimation of the conditional density for functional time-series data, Conditional density estimation in a regression setting, A test for model specification of diffusion processes, Nonparametric inference with generalized likelihood ratio tests (With comments and rejoinder), Quantile treatment effects in the regression discontinuity design, International market links and volatility transmission, Asymptotic normality and Berry-Esseen results for conditional density estimator with censored and dependent data, Robust estimating equation-based sufficient dimension reduction, Semiparametric methods in nonlinear time series analysis: a selective review, On the local linear modelization of the conditional distribution for functional data, On Projection‐type Estimators of Multivariate Isotonic Functions, CONFIDENCE BANDS IN QUANTILE REGRESSION, Local linear double and asymmetric kernel estimation of conditional quantiles, Nonparametric conditional efficiency measures: asymptotic properties, Smooth copula-based estimation of the conditional density function with a single covariate, Efficient estimation in sufficient dimension reduction, Bandwidth selection for kernel conditional density estimation., Bandwidth selection for nonparametric modal regression, Conditional density estimation with covariate measurement error, Maximum likelihood method for bandwidth selection in kernel conditional density estimate, Kernel methods for estimating derivatives of conditional quantiles, Nonparametric Conditional Density Estimation Using Piecewise-Linear Solution Path of Kernel Quantile Regression, A local linear estimation of conditional hazard function in censored data, A constructive approach to the estimation of dimension reduction directions, Adaptive Bayesian density regression for high-dimensional data, Intra-distribution dynamics of regional per-capita income in Europe: evidence from alternative conditional, Unnamed Item, Direct conditional probability density estimation with sparse feature selection, Non-Crossing Non-Parametric Estimates of Quantile Curves, A nonparametric estimation of the conditional ageing intensity function in censored data: a local linear approach, Estimating quantiles in imperfect simulation models using conditional density estimation, A note on nonparametric estimation of circular conditional densities, Absorption of shocks in nonlinear autoregressive models, A consistent nonparametric Bayesian procedure for estimating autoregressive conditional den\-sities, Partial sufficient dimension reduction on additive rates model for recurrent event data with high-dimensional covariates, Nonparametric conditional hazard rate estimation: a local linear approach, Econometric modeling of risk measures: a selective review of the recent literature, Approximating conditional density functions using dimension reduction, Functional local linear estimate for functional relative-error regression, Kernel-based hidden Markov conditional densities, Bernstein conditional density estimation with application to conditional distribution and regression functions, Weighted local polynomial estimations of a non-parametric function with censoring indicators missing at random and their applications, Conditional density estimation and simulation through optimal transport, Approximating conditional distribution functions using dimension reduction, Dynamic Modeling of Conditional Quantile Trajectories, With Application to Longitudinal Snippet Data, Linearity testing using local polynomial approximation, Conditional quantile estimation by local logistic regression, Estimation of nonseparable models with censored dependent variables and endogenous regressors, Common threshold in quantile regressions with an application to pricing for reputation, Kernel Conditional Density Estimation When the Regressor is Valued in a Semi-Metric Space