Hall, Peter; Yao, Qiwei
Motivated by applications to prediction and forecasting, we suggest methods for approximating the conditional distribution function of a random variable Y given a dependent random d-vector X. The idea is to estimate not the distribution of Y|X, but that of Y|θᵀX, where the unit vector θ is selected so that the approximation is optimal under a least-squares criterion. We show that θ may be estimated root-n consistently. Furthermore, estimation of the conditional distribution function of Y, given...[Show more]
Items in Open Research are protected by copyright, with all rights reserved, unless otherwise indicated.