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Model-free Model-fitting and Predictive Distributions

Author

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  • Politis, Dimitris N
Abstract
The problem of prediction is revisited with a view towards going beyond the typical nonparametric setting and reaching a fully model-free environment for predictive inference, i.e., point predictors and predictive intervals. A basic principle of model-free prediction is laid out based on the notion of transforming a given set-up into one that is easier to work with, namely i.i.d. or Gaussian. As an application, the problem of nonparametric regression is addressed in detail; the model-free predictors are worked out, and shown to be applicable under minimal assumptions. Interestingly, model-free prediction in regression is a totally automatic technique that does not necessitate the search for an optimal data transformation before model fitting. The resulting model-free predictive distributions and intervals are compared to their corresponding model-based analogs, and the use of cross-validation is extensively discussed. As an aside, improved prediction intervals in linear regression are also obtained.

Suggested Citation

  • Politis, Dimitris N, 2010. "Model-free Model-fitting and Predictive Distributions," University of California at San Diego, Economics Working Paper Series qt67j6s174, Department of Economics, UC San Diego.
    • Handle: RePEc:cdl:ucsdec:qt67j6s174
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    References listed on IDEAS

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    Cited by:

    1. Pan, Li & Politis, Dimitris, 2014. "Bootstrap prediction intervals for Markov processes," University of California at San Diego, Economics Working Paper Series qt7555757g, Department of Economics, UC San Diego.
    2. Pan, Li & Politis, Dimitris N., 2016. "Bootstrap prediction intervals for Markov processes," Computational Statistics & Data Analysis, Elsevier, vol. 100(C), pages 467-494.
    3. Dimitris Politis, 2013. "Model-free model-fitting and predictive distributions," TEST: An Official Journal of the Spanish Society of Statistics and Operations Research, Springer;Sociedad de Estadística e Investigación Operativa, vol. 22(2), pages 183-221, June.

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