Oracle inequality for conditional density estimation and an actuarial example

DOI10.1007/S10463-008-0185-1zbMATH Open1440.62118OpenAlexW2079682766MaRDI QIDQ904089FDOQ904089

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

Recommendations

• Empirical Bayes conditional density estimation
• Conditional density estimation in a regression setting
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• Estimating the conditional density by histogram type estimators and model selection
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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)

Cites Work

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• Design-adaptive Nonparametric Regression
• Nonparametric curve estimation. Methods, theory, and applications
• Conditional specification of statistical models.
• Goodness-of-fit testing in regression: a finite sample comparison of bootstrap methodology and Khmaladze transformation
• Estimation of the density of regression errors
• Conditional density estimation in a regression setting
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• Nonparametric Estimation of a Density of Unknown Smoothness
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• On sharp adaptive estimation of multivariate curves

Cited In (9)

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

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