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