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Journal of the American Statistical Association Volume 95, 2000 - Issue 450
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Theory and Method

Conditional Minimum Volume Predictive Regions for Stochastic Processes

Wolfgang Polonik Division of Statistics, University of California, Davis, CA, 95616, USA
&
Qiwei Yao Department of Statistics, London School of Economies, London, WC2A 2AE, U.K.
Pages 509-519 | Received 01 Feb 1998, Published online: 17 Feb 2012

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Ali Laksaci, Salah Khardani & Sihem Semmar. (2022) Semi-recursive kernel conditional density estimators under random censorship and dependent data. Communications in Statistics - Theory and Methods 51:7, pages 2116-2138.
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Han-Ying Liang, Hong-Bing Zhou & Qiu-Li Guo. (2020) Asymptotic normality of conditional density estimation under truncated, censored and dependent data. Communications in Statistics - Theory and Methods 49:22, pages 5371-5391.
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Weiming Li, Jing Gao, Kunpeng Li & Qiwei Yao. (2016) Modeling Multivariate Volatilities via Latent Common Factors. Journal of Business & Economic Statistics 34:4, pages 564-573.
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HaniM. Samawi & Amal Helu. (2011) Distribution-Free Runs Test for Conditional Symmetry. Communications in Statistics - Theory and Methods 40:15, pages 2709-2718.
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Han-Ying Liang. (2010) Empirical Likelihood for Conditional Density Under Left Truncation and α-Mixing Condition. Communications in Statistics - Theory and Methods 39:4, pages 707-721.
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RobJ. Hyndman & Qiwei Yao. (2002) Nonparametric Estimation and Symmetry Tests for Conditional Density Functions. Journal of Nonparametric Statistics 14:3, pages 259-278.
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Laurent Delsol & Ingrid Van Keilegom. (2018) Semiparametric M-estimation with non-smooth criterion functions. Annals of the Institute of Statistical Mathematics 72:2, pages 577-605.
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Myung Hwan Seo & Taisuke Otsu. (2018) Local M-estimation with discontinuous criterion for dependent and limited observations. The Annals of Statistics 46:1.
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Daniel J. Henderson & Christopher F. Parmeter. (2015) A consistent bootstrap procedure for nonparametric symmetry tests. Economics Letters 131, pages 78-82.
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Han-Ying Liang & Ai-Ai Liu. (2013) Kernel estimation of conditional density with truncated, censored and dependent data. Journal of Multivariate Analysis 120, pages 40-58.
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Naâmane Laïb, Mohamed Lemdani & Elias Ould Saïd. (2013) A functional conditional symmetry test for a GARCH-SM model: Power asymptotic properties. Statistics & Risk Modeling 30:1, pages 75-104.
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SI-LI NIU & HAN-YING LIANG. (2012) NONLINEAR WAVELET ESTIMATION OF CONDITIONAL DENSITY UNDER LEFT-TRUNCATED AND α-MIXING ASSUMPTIONS. International Journal of Wavelets, Multiresolution and Information Processing 09:06, pages 989-1023.
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J. Di & E. Kolaczyk. (2010) Complexity-penalized estimation of minimum volume sets for dependent data. Journal of Multivariate Analysis 101:9, pages 1910-1926.
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Han-Ying Liang & Liang Peng. (2010) Asymptotic normality and Berry–Esseen results for conditional density estimator with censored and dependent data. Journal of Multivariate Analysis 101:5, pages 1043-1054.
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Marcella Niglio. (2007) Multi-step forecasts from threshold ARMA models using asymmetric loss functions. Statistical Methods and Applications 16:3, pages 395-410.
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Wolfgang Polonik & Zailong Wang. (2005) Estimation of regression contour clusters—an application of the excess mass approach to regression. Journal of Multivariate Analysis 94:2, pages 227-249.
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Peter Hall & Hong Ooi. (2004) Attributing a probability to the shape of a probability density. The Annals of Statistics 32:5.
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Javier Nuñez Garcia, Zoltan Kutalik, Kwang-Hyun Cho & Olaf Wolkenhauer. (2003) Level sets and minimum volume sets of probability density functions. International Journal of Approximate Reasoning 34:1, pages 25-47.
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Wolfgang Polonik & Qiwei Yao. (2002) Set-Indexed Conditional Empirical and Quantile Processes Based on Dependent Data. Journal of Multivariate Analysis 80:2, pages 234-255.
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Rainer Dahlhaus & Wolfgang Polonik. 2002. Empirical Process Techniques for Dependent Data. Empirical Process Techniques for Dependent Data 275 298 .
Jan G. De Gooijer & Rob J. Hyndman. (2005) 25 Years of IIF Time Series Forecasting: A Selective Review. SSRN Electronic Journal.
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Ross Askanazi, Francis X. Diebold, Frank Schorfheide & Minchul Shin. (2018) On the Comparison of Interval Forecasts. SSRN Electronic Journal.
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