A quantile-copula approach to conditional density estimation

Details A quantile-copula approach to conditional density estimation A quantile-copula approach to conditional density estimation

2007-09-20

arxiv.org/abs/0709.3192v3

Statistics

Methodology

with short simulations

Scientific paper

We present a new non-parametric estimator of the conditional density of the
kernel type. It is based on an efficient transformation of the data by quantile
transform. By use of the copula representation, it turns out to have a
remarkable product form. We study its asymptotic properties and compare its
bias and variance to competitors based on nonparametric regression.

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