Semiparametric distribution forecasting

DOI10.1016/j.jspi.2010.04.038zbMath1233.62157MaRDI QIDQ993815

Richard E. Gagnon, Benjamin Kedem-Kimelfeld

Publication date: 20 September 2010

Published in: Journal of Statistical Planning and Inference (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jspi.2010.04.038

zbMATH Keywords

residual; regression models; empirical likelihood; predictive distribution; exponential tilt; reference distribution

Mathematics Subject Classification ID

62G08: Nonparametric regression and quantile regression

62G07: Density estimation

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

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