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Operational time and in-sample density forecasting

In this paper, we consider a new structural model for in-sample density forecasting. In-sample density forecasting is to estimate a structured density on a region where data are observed and then reuse the estimated structured density on some region where data are not observed. Our structural assump...

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Main Authors: Lee, Young K. (Author) , Mammen, Enno (Author) , Nielsen, Jens Perch (Author) , Park, Byeong U. (Author)
Format: Article (Journal)
Language:English
Published: 13 June 2017
In: The annals of statistics
Year: 2017, Volume: 45, Issue: 3, Pages: 1312-1341
ISSN:2168-8966
DOI:10.1214/16-AOS1486
Online Access:Verlag, kostenfrei, Volltext: http://dx.doi.org/10.1214/16-AOS1486
Verlag, kostenfrei, Volltext: https://projecteuclid.org/euclid.aos/1497319696
Verlag, kostenfrei, Volltext: https://projecteuclid.org/download/pdfview_1/euclid.aos/1497319696
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Author Notes:Young K. Lee, Enno Mammen, Jens P. Nielsen, Byeong U. Park

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