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Methods for estimating a conditional distribution function

Hall, Peter; Wolff, Rodney; Yao, Qiwei

Description

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...[Show more]

CollectionsANU Research Publications
Date published: 1999
Type: Journal article
URI: http://hdl.handle.net/1885/91488
Source: Journal of the American Statistical Association

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