Nonparametric ANCOVA with two and three covariates

Nonparametric Bandits with Covariates

We consider a bandit problem which involves sequential sampling from two populations (arms). Each arm produces a noisy reward realization which depends on an observable random covariate. The goal is to maximize cumulative expected reward. We derive general lower bounds on the performance of any admissible policy, and develop an algorithm whose performance achieves the order of said lower bound ...

Nonparametric Regression with Nonparametrically Generated Covariates

In this paper, we analyze the properties of nonparametric estimators of a regression function when some covariates are not directly observed, but have only been estimated by some nonparametric procedure. We provide general results that can be used to establish rates of consistency or asymptotic normality in numerous econometric applications, including nonparametric estimation of simultaneous eq...

Robust ANCOVA: Confidence Intervals That Have Some Specified Simultaneous Probability Coverage When There Is Curvature And Two Covariates

Nonparametric survival estimation using prognostic longitudinal covariates.

One of the primary problems facing statisticians who work with survival data is the loss of information that occurs with right-censored data. This research considers trying to recover some of this endpoint information through the use of a prognostic covariate which is measured on each individual. We begin by defining a survival estimate which uses time-dependent covariates to more precisely get...

Nonparametric Estimators in Long-horizon regressions with nonstationary covariates

We consider predictability in long-horizon regression models with nonstationary predictors. The predictability is represented as the limiting form of the sum of covariances between long-horizon regressand and ...rst di¤erences of integrated covariates. Kernel-based nonparametric estimator for predictability is considered. Asymptotic mean squared errors and normality of the estimator are present...