Model-Free Prediction and Regression: A Transformation-Based Approach to Inference (Frontiers in Probability and the Statistical Sciences) free ebook download.

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Model-Free Prediction and Regression: A Transformation-Based Approach to Inference (Frontiers in Probability and the Statistical Sciences) free ebook download

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Author(s):	Dimitris N. Politis

Date:	2024	Format:	rar	Language:	English	ISBN/ASIN:	3319213466
Pages:	263	OCR:		Quality:		ISBN13:
Uploader:	stirkout	Upload Date:	9/19/2024 12:37:04 AM

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3319213466 rar
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 construct frequentist prediction intervals without resort to unrealistic assumptions such as normality.
Prediction has been traditionally approached via a model-based paradigm, i.e., (a) fit a model to the data at hand, and (b) use the fitted model to extrapolate/predict future data. Due to both mathematical and computational constraints, 20th century statistical practice focused mostly on parametric models. Fortunately, with the advent of widely accessible powerful computing in the late 1970s, computer-intensive methods such as the bootstrap and cross-validation freed practitioners from the limitations of parametric models, and paved the way towards the `big data' era of the 21st century. Nonetheless, there is a further step one may take, i.e., going beyond even nonparametric models  this is where the Model-Free Prediction Principle is useful.
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Tags: Approach Frontiers Inference Model-Free Prediction Probability Regression Sciences Statistical Transformation-Based

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