On the use of conditional expectation estimators
The result's identifiers
Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F61989100%3A27510%2F15%3A86095461" target="_blank" >RIV/61989100:27510/15:86095461 - isvavai.cz</a>
Result on the web
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DOI - Digital Object Identifier
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Alternative languages
Result language
angličtina
Original language name
On the use of conditional expectation estimators
Original language description
This paper discusses two different methods to estimate the conditional expectation. The kernel nonparametric regression method allows to estimate the regression function, which is a realization of the conditional expectation . A recent alternative approach consists in estimating the conditional expectation (intended as a random variable), based on an appropriate approximation of the ?-algebra generated by X. In this paper, we propose a new procedure to estimate the distribution of the conditional expectation based on the kernel method, so that it is possible to compare the two approaches by verifying which one better estimates the true distribution. In particular, if we assume that the two-dimensional variable is normally distributed, then the true distribution can be computed quite easily, and the comparison can be performed in terms of goodness-of-fit tests.
Czech name
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Czech description
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Classification
Type
D - Article in proceedings
CEP classification
BB - Applied statistics, operational research
OECD FORD branch
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Result continuities
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
Others
Publication year
2015
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů
Data specific for result type
Article name in the collection
New developments in pure and applied mathematics : proceedings of the International Conference on Mathematical Methods, Mathematical Models and Simulation in Science and Engineering (MMSSE 2015) : Vienna, Austria, March 15-17, 2015
ISBN
978-1-61804-287-3
ISSN
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e-ISSN
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Number of pages
3
Pages from-to
244-246
Publisher name
[s.n.]
Place of publication
[Dánsko]
Event location
Vídeň
Event date
Mar 15, 2015
Type of event by nationality
EUR - Evropská akce
UT code for WoS article
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