On the approximation of a conditional expectation

Result code in IS VaVaI

<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F61989100%3A27510%2F15%3A86094760" target="_blank" >RIV/61989100:27510/15:86094760 - isvavai.cz</a>

Result on the web

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DOI - Digital Object Identifier

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Result language

angličtina

Original language name

On the approximation of a conditional expectation

Original language description

In this paper, we discuss how to approximate the conditional expectation of a random variable Y given a random variable X, i.e. E(Y|X). We propose and compare two different non parametric methodologies to approximate E(Y|X). The first approach (namely the OLP method) is based on a suitable approximation of the s-algebra generated by X. A second procedure is based on the well known kernel non-parametric regression method. We analyze the convergence properties of the OLP estimator and we compare the two approaches with a simulation study

Czech name

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Czech description

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Type

J_x - Unclassified - Peer-reviewed scientific article (Jimp, Jsc and Jost)

CEP classification

BB - Applied statistics, operational research

OECD FORD branch

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Project

Result was created during the realization of more than one project. More information in the Projects tab.

Continuities

P - Projekt vyzkumu a vyvoje financovany z verejnych zdroju (s odkazem do CEP)<br>S - Specificky vyzkum na vysokych skolach

Publication year

2015

Confidentiality

S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

Name of the periodical

WSEAS Transactions on Mathematics

ISSN

1109-2769

e-ISSN

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Volume of the periodical

14

Issue of the periodical within the volume

1

Country of publishing house

US - UNITED STATES

Number of pages

10

Pages from-to

237-247

UT code for WoS article

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EID of the result in the Scopus database

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