Model-Free Prediction and Regression: A Transformation-Based Approach to Inference

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The Model-Free Prediction Principle expounded upon in this monograph is based on the simple notion of transforming a complex dataset to one that is easier to work with, e.g., i.i.d. or Gaussian. As such, it restores the emphasis on observable quantities, i.e., current and future data, as opposed to unobservable model parameters and estimates thereof, and yields optimal predictors in diverse settings such as regression and time series. Furthermore, the Model-Free Bootstrap takes us beyond point prediction in order to ...

Model-Free Prediction and Regression: A Transformation-Based Approach to Inference 2016, Springer, Cham

ISBN-13: 9783319213460

2015 edition

Hardcover

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