43 search results - page 2 / 9 » Functional nonparametric estimation of conditional extreme q... |
TIT
2011
13 years 13 days ago
2011
Motivated by a broad range of potential applications, we address the quantile prediction problem of real-valued time series. We present a sequential quantile forecasting model bas...
ACML
2009
Springer
14 years 3 days ago
2009
Springer
Many regression schemes deliver a point estimate only, but often it is useful or even essential to quantify the uncertainty inherent in a prediction. If a conditional density estim...
HICSS
2002
IEEE
13 years 10 months ago
2002
IEEE
We propose a class of alternative stochastic volatility models for electricity prices using the quantile function modeling approach. Specifically, we fit marginal distributions ...
CSDA
2007
13 years 5 months ago
2007
Given a sample of n observations y1, . . . , yn at time points t1, . . . , tn we consider the problem of specifying a function ˜f such that ˜f • is smooth, • fits the data ...
JMLR
2010
13 years 8 days ago
2010
We propose Dirichlet Process mixtures of Generalized Linear Models (DP-GLMs), a new method of nonparametric regression that accommodates continuous and categorical inputs, models ...