On the conditional density estimation for continuous time processes with values in functional spaces

Bertrand Maillot and Christophe Chesneau

Statistics & Probability Letters, 2021, vol. 178, issue C

Abstract: This paper is devoted to the conditional density estimation for continuous time processes with values in functional spaces. Under standard assumptions, we prove the uniform convergence of the conditional density estimator, from which we deduce the almost sure convergence of the conditional mode estimator. Then, the convergence of the conditional distribution function and the regression function estimators are established.

Keywords: Conditional density estimation; Continuous time processes; Conditional mode estimation; Regression function estimation (search for similar items in EconPapers)
Date: 2021
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Citations: View citations in EconPapers (2)

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DOI: 10.1016/j.spl.2021.109179

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