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Semiparametric distribution forecasting |
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| Authors: | Benjamin Kedem Richard E Gagnon |
| Institution: | Department of Mathematics, University of Maryland, College Park, MD 20742, USA |
| Abstract: | Given m time series regression models, linear or not, with additive noise components, it is shown how to estimate semiparametrically the predictive probability distribution of one of the time series conditional on past random covariate data. This is done by assuming that the distributions of the residual components associated with the regression models are tilted versions of a reference distribution. |
| Keywords: | Reference distribution Exponential tilt Empirical likelihood Predictive distribution Residual Regression models |
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