Prediction via the Quantile-Copula Conditional Density Estimator
Download full text from publisher
References listed on IDEAS
- Faugeras, Olivier P., 2009. "A quantile-copula approach to conditional density estimation," Journal of Multivariate Analysis, Elsevier, vol. 100(9), pages 2083-2099, October.
Most related itemsThese are the items that most often cite the same works as this one and are cited by the same works as this one.
- Bulla, Ingo & Chesneau, Christophe & Navarro, Fabien & Mark, Tanya, 2015. "A note on the adaptive estimation of a bi-dimensional density in the case of knowledge of the copula density," Statistics & Probability Letters, Elsevier, vol. 105(C), pages 6-13.
- Bessa, Ricardo J. & Miranda, V. & Botterud, A. & Zhou, Z. & Wang, J., 2012. "Time-adaptive quantile-copula for wind power probabilistic forecasting," Renewable Energy, Elsevier, vol. 40(1), pages 29-39.
- Janssen, Paul & Swanepoel, Jan & Veraverbeke, Noël, 2017. "Smooth copula-based estimation of the conditional density function with a single covariate," Journal of Multivariate Analysis, Elsevier, vol. 159(C), pages 39-48.
- Gery Geenens & Arthur Charpentier & Davy Paindaveine, 2014. "Probit Transformation for Nonparametric Kernel Estimation of the Copula Density," Working Papers ECARES ECARES 2014-23, ULB -- Universite Libre de Bruxelles.
- Otneim, Håkon & Tjøstheim, Dag, 2016. "Non-parametric estimation of conditional densities: A new method," Discussion Papers 2016/22, Norwegian School of Economics, Department of Business and Management Science.
- Gery Geenens & Richard Dunn, 2017. "A nonparametric copula approach to conditional Value-at-Risk," Papers 1712.05527, arXiv.org, revised Oct 2019.
More about this item
Keywordsnonparametric estimation; modal regressor; level-set;
All these keywords.
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ECM-2010-05-22 (Econometrics)
StatisticsAccess and download statistics
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:tse:wpaper:22247. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (). General contact details of provider: https://edirc.repec.org/data/tsetofr.html .
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.
Please note that corrections may take a couple of weeks to filter through the various RePEc services.