Envelope models represent a significant advancement in multivariate regression analysis, offering an efficient dimension reduction tool that enhances both estimation precision and predictive ...
Journal of the Royal Statistical Society. Series B (Statistical Methodology), Vol. 80, No. 5 (2018), pp. 975-993 (19 pages) Estimating conditional quantiles of financial time series is essential for ...
Average derivative functionals of regression are proposed for nonparametric model selection and diagnostics. The functionals are of the integral type, which under certain conditions allows their ...
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