Abstract
We present some recent results about nonparametric conditional density estimation, when we consider a functional explanatory variable, and some applications of these techniques to econometrics. In a first part, we construct a test to check the parametric form of the conditional density function. In a second part, we estimate two well-known risk measures, the conditional Value-at-Risk and the conditional expected shortfall. Some simulations are shown.
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Quintela-del-Río, A., Ferraty, F., Vieu, P. (2011). Nonparametric Conditional Density Estimation for Functional Data. Econometric Applications. In: Ferraty, F. (eds) Recent Advances in Functional Data Analysis and Related Topics. Contributions to Statistics. Physica-Verlag HD. https://doi.org/10.1007/978-3-7908-2736-1_41
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DOI: https://doi.org/10.1007/978-3-7908-2736-1_41
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Publisher Name: Physica-Verlag HD
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Online ISBN: 978-3-7908-2736-1
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