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Approximating conditional distribution functions using dimension reduction

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  • Hall, Peter
  • Yao, Qiwei

Abstract

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Suggested Citation

  • 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. 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.
    2. Xiangrong Yin & R. Dennis Cook, 2002. "Dimension reduction for the conditional "k"th moment in regression," Journal of the Royal Statistical Society Series B, Royal Statistical Society, vol. 64(2), pages 159-175.
    3. Posse, Christian, 1995. "Projection pursuit exploratory data analysis," Computational Statistics & Data Analysis, Elsevier, vol. 20(6), pages 669-687, December.
    4. 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.
    5. 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.
    6. 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.
    7. 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.
    8. 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.
    9. 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.
    10. Cai, Zongwu, 2002. "Regression Quantiles For Time Series," Econometric Theory, Cambridge University Press, vol. 18(01), pages 169-192, February.
    11. 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.
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    Citations

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    Cited by:

    1. repec:spr:testjl:v:27:y:2018:i:2:d:10.1007_s11749-017-0546-2 is not listed on IDEAS
    2. repec:eee:jmvana:v:158:y:2017:i:c:p:47-59 is not listed on IDEAS
    3. 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.
    4. repec:bla:scjsta:v:44:y:2017:i:2:p:396-424 is not listed on IDEAS
    5. 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.
    6. 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.
    7. 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.
    8. repec:bla:scjsta:v:44:y:2017:i:1:p:1-20 is not listed on IDEAS
    9. Sancetta, Alessio, 2009. "Nearest neighbor conditional estimation for Harris recurrent Markov chains," Journal of Multivariate Analysis, Elsevier, vol. 100(10), pages 2224-2236, November.

    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;

    JEL classification:

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

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