Related papers: Nonparametric Conditional Inference for Regression…

Selective inference (post-selection inference) is a methodology that has attracted much attention in recent years in the fields of statistics and machine learning. Naive inference based on data that are also used for model selection tends…

We consider estimation and inference on average treatment effects under unconfoundedness conditional on the realizations of the treatment variable and covariates. Given nonparametric smoothness and/or shape restrictions on the conditional…

The main purpose of this paper is to estimate the regression function by using a recursive nonparametric kernel approach. We derive the asymptotic normality for a general class of recursive kernel estimate of the regression function, under…

We investigate generically applicable and intuitively appealing prediction intervals based on $k$-fold cross validation. We focus on the conditional coverage probability of the proposed intervals, given the observations in the training…

Truncated conditional expectation functions are objects of interest in a wide range of economic applications, including income inequality measurement, financial risk management, and impact evaluation. They typically involve truncating the…

Statistical modeling of experimental physical laws is based on the probability density function of measured variables. It is expressed by experimental data via a kernel estimator. The kernel is determined objectively by the scattering of…

Distribution regression seeks to estimate the conditional distribution of a multivariate response given a continuous covariate. This approach offers a more complete characterization of dependence than traditional regression methods.…

Nonparametric cointegrating regression models have been extensively used in financial markets, stock prices, heavy traffic, climate data sets, and energy markets. Models with parametric regression functions can be more appealing in practice…

We propose a novel approach for estimating conditional or parametric expectations in the setting where obtaining samples or evaluating integrands is costly. Through the framework of probabilistic numerical methods (such as Bayesian…

In this paper, we consider the problem of estimating a conditional density in moderately large dimensions. Much more informative than regression functions, conditional densities are of main interest in recent methods, particularly in the…

In fitting a mixture of linear regression models, normal assumption is traditionally used to model the error and then regression parameters are estimated by the maximum likelihood estimators (MLE). This procedure is not valid if the normal…

We propose a kernel-based nonparametric estimator for the causal effect when the cause is corrupted by error. We do so by generalizing estimation in the instrumental variable setting. Despite significant work on regression with measurement…

Many scientific problems involve data exhibiting both temporal and cross-sectional dependencies. While linear dependencies have been extensively studied, the theoretical analysis of regression estimators under nonlinear dependencies remains…

We propose a new conditional dependence measure and a statistical test for conditional independence. The measure is based on the difference between analytic kernel embeddings of two well-suited distributions evaluated at a finite set of…

We consider the problem of simultaneous variable selection and estimation in additive, partially linear models for longitudinal/clustered data. We propose an estimation procedure via polynomial splines to estimate the nonparametric…

Prediction with the possibility of abstention (or selective prediction) is an important problem for error-critical machine learning applications. While well-studied in the classification setup, selective approaches to regression are much…

There are many environments in econometrics which require nonseparable modeling of a structural disturbance. In a nonseparable model with endogenous regressors, key conditions are validity of instrumental variables and monotonicity of the…

The main purpose is to estimate the regression function of a real random variable with functional explanatory variable by using a recursive nonparametric kernel approach. The mean square error and the almost sure convergence of a family of…

We prove conditional asymptotic normality of a class of quadratic U-statistics that are dominated by their degenerate second order part and have kernels that change with the number of observations. These statistics arise in the construction…

We consider settings where data are available on a nonparametric function and various partial derivatives. Such circumstances arise in practice, for example in the joint estimation of cost and input functions in economics. We show that when…