A Multivariate Quantile Predictor

DOI10.1080/03610920500439570zbMath1084.62097OpenAlexW2145452746MaRDI QIDQ5201479

Dawit Zerom, Jan G. De Gooijer, Ali Gannoun

Publication date: 19 April 2006

Published in: Communications in Statistics - Theory and Methods (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03610920500439570

zbMATH Keywords

conditional quantiletime serieskernelmultivariatejoint-horizon predictionsingle-horizon prediction

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20) Nonparametric regression and quantile regression (62G08) Multivariate analysis (62H99) Asymptotic properties of nonparametric inference (62G20) Applications of statistics to actuarial sciences and financial mathematics (62P05)

Related Items (5)

On the \(u\)\,th geometric conditional quantile ⋮ Nonparametric multivariate \(L_{1}\)-median regression estimation with functional covariates ⋮ Unnamed Item ⋮ Design-based estimation for geometric quantiles with application to outlier detection ⋮ Vector-on-function quantile regression for stationary ergodic processes

Cites Work

• Descriptive statistics for multivariate distributions
• Conditional empirical processes
• Note on the spatial quantile of a random vector
• A counterexample on the existence of the \(L_ 1\)-median
• Nonparametric vector autoregression
• Estimation of conditional \(L_1\)-median from dependent observations
• A note on prediction via estimation of the conditional mode function
• A CENTRAL LIMIT THEOREM AND A STRONG MIXING CONDITION
• Local Linear Quantile Regression
• Regression Quantiles
• Quantile functions for multivariate analysis: approaches and applications
• MULTI-STAGE KERNEL-BASED CONDITIONAL QUANTILE PREDICTION IN TIME SERIES
• Asymptotic distribution of data‐driven smoothers in density and regression estimation under dependence

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