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quantile regression sign in to follow this
normal distribution sign in to follow this
kernel smoothing sign in to follow this
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expected shortfall sign in to follow this
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Quantile-based Methods for Prediction, Risk Measurement and Inference
Company: School of Information Systems, Computing and Mathematics, Brunel University
Company Url: Click here to open
Year Of Publication: 2010
Month Of Publication: December
Pages: 148
Download Count: 2
View Count: 1335
Comment Num: 0
Language: English
Source: thesis
Who Can Read: Free
Date: 8-5-2012
Publisher: Administrator
Summary
A problem of creating model-free prediction intervals for a future unobserved value of a random variable drawn from a sample distribution is considered. The second problem studied is that of estimation of expected shortfall via kernel smoothing. The third problem is that of constructing simultaneous confidence bands for quantile regression functions when the predictor variables are constrained within a region.
Author(s)
Ally, Abdallah K. Sign in to follow this author
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