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Methods for estimating a conditional distribution function

  • Rodney C Wolff
  • Peter Hall
  • Qiwei Yao

    (School of Economics and Finance, Queensland University of Technology)

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    Motivated by the problem of setting prediction intervals in time series analysis, we suggest two new methods for conditional distribution estimation. The first method is based on locally fitting a logistic model and is in the spirit of recent work on locally parametric techniques in density estimation. It produces distribution estimators that may be of arbitrarily high order but nevertheless always lie between 0 and 1. The second method involves an adjusted form of the Nadaraya--Watson estimator. It preserves the bias and variance properties of a class of second-order estimators introduced by Yu and Jones but has the added advantage of always being a distribution itself. Our methods also have application outside the time series setting; for example, to quantile estimation for independent data. This problem motivated the work of Yu and Jones.

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    Paper provided by School of Economics and Finance, Queensland University of Technology in its series School of Economics and Finance Discussion Papers and Working Papers Series with number 208l.

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    Date of creation: 15 Jun 2006
    Date of revision:
    Handle: RePEc:qut:dpaper:208l
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