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Density Forecasts with Local Quantile Projection and Quantile Vector Autoregression Applied to Inflation

https://doi.org/10.2139/ssrn.4855124
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Outgoing claims: the papers this work cites, builds on, or argues with.

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Multivariate Density Estimation
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A distributed kernel summation framework for general‐dimension machine learning
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Nonparametric density estimation for high‐dimensional data—Algorithms and applications
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Computational methods for local regression
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Bandwidth selection for kernel conditional density estimation
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Computational aspects of nonparametric smoothing with illustrations from the sm library
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The relation between unemployment and the rate of change of money wage rates in the United Kingdom, 1861-1957
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Computing and Graphing Highest Density Regions
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Robust Locally Weighted Regression and Smoothing Scatterplots
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An Effective Bandwidth Selector for Local Least Squares Regression
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Local Linear Quantile Regression
inferredcites →https://doi.org/10.1080/10485250212374openalex-extracted
Nonparametric Estimation and Symmetry Tests for Conditional Density Functions
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Fast Implementations of Nonparametric Curve Estimators
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Fast Algorithms for Nonparametric Curve Estimation
inferredcites →https://doi.org/10.1080/10618600.1994.10474656openalex-extracted
Fast Computation of Multivariate Kernel Estimators
inferredcites →https://doi.org/10.1080/10618600.1995.10474678openalex-extracted
Adaptive Order Polynomial Fitting: Bandwidth Robustification and Bias Reduction
inferredcites →https://doi.org/10.1080/10618600.1996.10474715openalex-extracted
Estimating and Visualizing Conditional Densities
inferredcites →https://doi.org/10.1080/10618600.1996.10474716openalex-extracted
Fast Computation of Auxiliary Quantities in Local Polynomial Regression
inferredcites →https://doi.org/10.1080/10618600.1998.10474761openalex-extracted
A Fast and Stable Updating Algorithm for Bivariate Nonparametric Curve Estimation
inferredcites →https://doi.org/10.1080/10618600.2016.1182918openalex-extracted
FFT-Based Fast Computation of Multivariate Kernel Density Estimators With Unconstrained Bandwidth Matrices
inferredcites →https://doi.org/10.1080/10618600.2018.1549052openalex-extracted
Fast and Stable Multivariate Kernel Density Estimation by Fast Sum Updating
inferredcites →https://doi.org/10.1093/biomet/83.1.189openalex-extracted
Estimation of conditional densities and sensitivity measures in nonlinear dynamical systems
inferredcites →https://doi.org/10.1093/biomet/91.4.819openalex-extracted
A crossvalidation method for estimating conditional densities
inferredcites →https://doi.org/10.1093/jjfinec/nby026openalex-extracted
A Quantile Regression Approach to Estimate the Variance of Financial Returns*
inferredcites →https://doi.org/10.1109/icip.2005.1529946openalex-extracted
Performance characterization for Gaussian mixture model based motion detection algorithms
inferredcites →https://doi.org/10.1111/j.1467-9876.2006.00547.xopenalex-extracted
Modelling Beyond Regression Functions: An Application of Multimodal Regression to Speed–Flow Data
inferredcites →https://doi.org/10.1111/j.1468-0262.2006.00671.xopenalex-extracted
Quantile Regression under Misspecification, with an Application to the U.S. Wage Structure
inferredcites →https://doi.org/10.1111/j.2517-6161.1977.tb01600.xopenalex-extracted
Maximum Likelihood from Incomplete Data Via the EM Algorithm
inferredcites →https://doi.org/10.1137/100790744openalex-extracted
The Fast Generalized Gauss Transform
inferredcites →https://doi.org/10.1198/016214506000000672openalex-extracted
Quantile Autoregression
inferredcites →https://doi.org/10.1198/016214506000001437openalex-extracted
Strictly Proper Scoring Rules, Prediction, and Estimation
inferredcites →https://doi.org/10.1214/09-aos766openalex-extracted
Asymptotics and optimal bandwidth selection for highest density region estimation
inferredcites →https://doi.org/10.1214/aos/1176325632openalex-extracted
Multivariate Locally Weighted Least Squares Regression
inferredcites →https://doi.org/10.1214/aos/1176345206openalex-extracted
Optimal Rates of Convergence for Nonparametric Estimators
inferredcites →https://doi.org/10.1214/aos/1176345872openalex-extracted
On the Estimation of a Probability Density Function by the Maximum Penalized Likelihood Method
inferredcites →https://doi.org/10.1214/aos/1176345969openalex-extracted
Optimal Global Rates of Convergence for Nonparametric Regression
inferredcites →https://doi.org/10.1214/aos/1176347121openalex-extracted
Discussion: Linear Smoothers and Additive Models
inferredcites →https://doi.org/10.1214/aos/1176349654openalex-extracted
Averaged Shifted Histograms: Effective Nonparametric Density Estimators in Several Dimensions
inferredcites →https://doi.org/10.1214/ss/1030037960openalex-extracted
The Gaussian hare and the Laplacian tortoise: computability of squared-error versus absolute-error estimators
inferredcites →https://doi.org/10.1257/0002828053828518openalex-extracted
Estimation and Inference of Impulse Responses by Local Projections
inferredcites →https://doi.org/10.1287/mnsc.22.10.1087openalex-extracted
Scoring Rules for Continuous Probability Distributions
inferredcites →https://doi.org/10.1353/eca.2011.0005openalex-extracted
Inflation Dynamics and the Great Recession
inferredcites →https://doi.org/10.2139/ssrn.3489065openalex-extracted
Forecasting and Stress Testing with Quantile Vector Autoregression
inferredcites →https://doi.org/10.2139/ssrn.544222openalex-extracted
Quantile Regression Under Misspecification, with an Application to the U.S. Wage Structure
inferredcites →https://doi.org/10.2139/ssrn.77675openalex-extracted
Fast Computation of Auxiliary Quantities in Local Polynomial Regression
inferredcites →https://doi.org/10.2307/1912017openalex-extracted
Macroeconomics and Reality
inferredcites →https://doi.org/10.2307/1913643openalex-extracted
Regression Quantiles
inferredcites →https://doi.org/10.2307/2550759openalex-extracted
The Relation between Unemployment and the Rate of Change of Money Wage Rates in the United Kingdom, 1861-1957
inferredcites →https://doi.org/10.32614/cran.package.hdrcdeopenalex-extracted
hdrcde: Highest Density Regions and Conditional Density Estimation
inferredcites →https://doi.org/10.3982/ecta10451openalex-extracted
What Explains the 2007-2009 Drop in Employment?
inferredcites →https://doi.org/10.4284/0038-4038-2011.149openalex-extracted
European Inflation and the New Keynesian Phillips Curve
inferredcites →https://doi.org/10.48350/150869openalex-extracted
Fast Algorithms for the Quantile Regression Process
inferredcites →https://doi.org/10.48550/arxiv.0704.3686openalex-extracted
Improving Estimates of Monotone Functions by Rearrangement
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