Semiparametric distribution forecasting

DOI10.1016/J.JSPI.2010.04.038MaRDI QIDQ993815zbMATH OpenOpenAlexFDO

Authors 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

regression modelsresidualempirical likelihoodpredictive distributionexponential tiltreference distribution

Mathematics Subject Classification ID

Density estimation (62G07) Nonparametric regression and quantile regression (62G08) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

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Cites work

• scientific article; zbMATH DE number 1808197 (Why is no real title available?)
• scientific article; zbMATH DE number 735230 (Why is no real title available?)
• scientific article; zbMATH DE number 1515421 (Why is no real title available?)
• M‐estimation Under a Two‐Sample Semiparametric Model
• A Semiparametric Approach to the One-Way Layout
• A goodness-of-fit test for logistic regression models based on case-control data
• Bayesian Prediction of Transformed Gaussian Random Fields
• Empirical likelihood
• Empirical likelihood and general estimating equations
• Empirical likelihood in biased sample problems
• Forecasting mortality rates via density ratio modeling
• Large sample theory of maximum likelihood estimates in semiparametric biased sampling models.
• Maximum likelihood estimation in semiparametric selection bias models with application to AIDS vaccine trials
• On the effect of misspecifying the density ratio model
• Quantile estimation under a two-sample semi-parametric model
• Quantile probability and statistical data modeling
• Semi-parametric cluster detection

Cited in

(16)

• Deep distribution regression
• A Bayesian discriminant analysis method under semiparametric density ratio models
• scientific article; zbMATH DE number 410130 (Why is no real title available?)
• Forecasting and prequential validation for time varying meta-elliptical distributions
• On the predictive content of autoregression residuals: a semiparametric, copula-based approach to time series prediction
• Semiparametric forecast intervals
• Out-of-sample fusion in risk prediction
• Time series central subspace with covariates and its application to forecasting pine sawtimber stumpage prices in the Southern United States
• Managing distribution changes in time series prediction
• Sampling Distributions of Post-Sample Forecasting Errors
• Comments on: Some recent theory for autoregressive count time series
• A model for time series analysis
• Forecasting via Fokker-Planck using conditional probabilities
• Probabilistic Time Series Forecasts with Autoregressive Transformation Models
• Forecasting a Cumulative Variable Using Its Partially Accumulated Data
• Estimating multivariate conditional distributions -- an application to the truck sales forecast

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