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Approximating conditional distribution functions using dimension reduction

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  • Hall, Peter
  • Yao, Qiwei

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  • Hall, Peter & Yao, Qiwei, 2005. "Approximating conditional distribution functions using dimension reduction," LSE Research Online Documents on Economics 16333, London School of Economics and Political Science, LSE Library.
    • Handle: RePEc:ehl:lserod:16333
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    File URL: http://eprints.lse.ac.uk/16333/
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    References listed on IDEAS

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    1. Foresi, S. & Paracchi, F., 1992. "The Conditional Distribution of Excess Returns: An Empirical Analysis," Working Papers 92-49, C.V. Starr Center for Applied Economics, New York University.
    2. Hall, Peter & Wolff, Rodney C. L. & Yao, Qiwei, 1999. "Methods for estimating a conditional distribution function," LSE Research Online Documents on Economics 6631, London School of Economics and Political Science, LSE Library.
    3. Hyndman, R.J. & Yao, Q., 1998. "Nonparametric Estimation and Symmetry Tests for Conditional Density Functions," Monash Econometrics and Business Statistics Working Papers 17/98, Monash University, Department of Econometrics and Business Statistics.
    4. Fan, Jianqing & Yao, Qiwei & Tong, Howell, 1996. "Estimation of conditional densities and sensitivity measures in nonlinear dynamical systems," LSE Research Online Documents on Economics 6704, London School of Economics and Political Science, LSE Library.
    5. Powell, James L & Stock, James H & Stoker, Thomas M, 1989. "Semiparametric Estimation of Index Coefficients," Econometrica, Econometric Society, vol. 57(6), pages 1403-1430, November.
    6. Bashtannyk, David M. & Hyndman, Rob J., 2001. "Bandwidth selection for kernel conditional density estimation," Computational Statistics & Data Analysis, Elsevier, vol. 36(3), pages 279-298, May.
    7. Xiangrong Yin & R. Dennis Cook, 2002. "Dimension reduction for the conditional kth moment in regression," Journal of the Royal Statistical Society Series B, Royal Statistical Society, vol. 64(2), pages 159-175, May.
    8. Klein, Roger W & Spady, Richard H, 1993. "An Efficient Semiparametric Estimator for Binary Response Models," Econometrica, Econometric Society, vol. 61(2), pages 387-421, March.
    9. Cai, Zongwu, 2002. "Regression Quantiles For Time Series," Econometric Theory, Cambridge University Press, vol. 18(1), pages 169-192, February.
    10. Toshiaki Watana, 2000. "Excess kurtosis of conditional distribution for daily stock returns: the case of Japan," Applied Economics Letters, Taylor & Francis Journals, vol. 7(6), pages 353-355.
    11. Posse, Christian, 1995. "Projection pursuit exploratory data analysis," Computational Statistics & Data Analysis, Elsevier, vol. 20(6), pages 669-687, December.
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    Citations

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    Cited by:

    1. Weiyu Li & Valentin Patilea, 2018. "A dimension reduction approach for conditional Kaplan–Meier estimators," TEST: An Official Journal of the Spanish Society of Statistics and Operations Research, Springer;Sociedad de Estadística e Investigación Operativa, vol. 27(2), pages 295-315, June.
    2. Li, Weiyu & Patilea, Valentin, 2017. "A new minimum contrast approach for inference in single-index models," Journal of Multivariate Analysis, Elsevier, vol. 158(C), pages 47-59.
    3. Stephen G. Donald & Yu‐Chin Hsu & Garry F. Barrett, 2012. "Incorporating covariates in the measurement of welfare and inequality: methods and applications," Econometrics Journal, Royal Economic Society, vol. 15(1), pages 1-30, February.
    4. Catalina Bolancé & Ricardo Cao & Montserrat Guillen, 2018. "“Flexible maximum conditional likelihood estimation for single-index models to predict accident severity with telematics data”," IREA Working Papers 201829, University of Barcelona, Research Institute of Applied Economics, revised Dec 2018.
    5. Ming-Yueh Huang & Chin-Tsang Chiang, 2017. "An Effective Semiparametric Estimation Approach for the Sufficient Dimension Reduction Model," Journal of the American Statistical Association, Taylor & Francis Journals, vol. 112(519), pages 1296-1310, July.
    6. Cao, Ricardo & Gonzalez-Manteiga, Wenceslao, 2008. "Goodness-of-fit tests for conditional models under censoring and truncation," Journal of Econometrics, Elsevier, vol. 143(1), pages 166-190, March.
    7. David Mason, 2012. "Proving consistency of non-standard kernel estimators," Statistical Inference for Stochastic Processes, Springer, vol. 15(2), pages 151-176, July.
    8. Ming-Yueh Huang & Chin-Tsang Chiang, 2017. "Estimation and Inference Procedures for Semiparametric Distribution Models with Varying Linear-Index," Scandinavian Journal of Statistics, Danish Society for Theoretical Statistics;Finnish Statistical Society;Norwegian Statistical Association;Swedish Statistical Association, vol. 44(2), pages 396-424, June.
    9. Chang, Ziqing & Xue, Liugen & Zhu, Lixing, 2010. "On an asymptotically more efficient estimation of the single-index model," Journal of Multivariate Analysis, Elsevier, vol. 101(8), pages 1898-1901, September.
    10. Chiang, Chin-Tsang & Huang, Ming-Yueh, 2012. "New estimation and inference procedures for a single-index conditional distribution model," Journal of Multivariate Analysis, Elsevier, vol. 111(C), pages 271-285.
    11. Daniel Scharfstein & Aidan McDermott & Iván Díaz & Marco Carone & Nicola Lunardon & Ibrahim Turkoz, 2018. "Global sensitivity analysis for repeated measures studies with informative drop†out: A semi†parametric approach," Biometrics, The International Biometric Society, vol. 74(1), pages 207-219, March.
    12. Matthias Hansmann & Benjamin M. Horn & Michael Kohler & Stefan Ulbrich, 2022. "Estimation of conditional distribution functions from data with additional errors applied to shape optimization," Metrika: International Journal for Theoretical and Applied Statistics, Springer, vol. 85(3), pages 323-343, April.
    13. Chen, Songxi, 2013. "Mann-Whitney Test with Adjustments to Pre-treatment Variables for Missing Values and Observational Study," MPRA Paper 46239, University Library of Munich, Germany.
    14. Carole Bernard & Junsen Tang, 2016. "Simplified Hedge For Path-Dependent Derivatives," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 19(07), pages 1-32, November.
    15. Qi Li & Jeffrey Scott Racine, 2006. "Nonparametric Econometrics: Theory and Practice," Economics Books, Princeton University Press, edition 1, volume 1, number 8355.
    16. Kun Chen & Yanyuan Ma, 2017. "Analysis of Double Single Index Models," Scandinavian Journal of Statistics, Danish Society for Theoretical Statistics;Finnish Statistical Society;Norwegian Statistical Association;Swedish Statistical Association, vol. 44(1), pages 1-20, March.
    17. Sancetta, Alessio, 2009. "Nearest neighbor conditional estimation for Harris recurrent Markov chains," Journal of Multivariate Analysis, Elsevier, vol. 100(10), pages 2224-2236, November.

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    More about this item

    Keywords

    Conditional distribution; cross-validation; dimension reduction; kernel methods; leave-one-out method; local linear regression; nonparametric regression; prediction; root-n consistency; time series analysis;
    All these keywords.

    JEL classification:

    • C1 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General

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