Humboldt-Universität zu Berlin - High Dimensional Nonstationary Time Series

Gaussian Process Forecast with multidimensional distributional entries

Andzhey Koziuk
Vladimir Spokoiny



Abstract
IV regression in the context of a re-sampling is considered in the work. Comparatively, the contribution
in the development is a structural identication in the IV model. The work also contains a
multiplier-bootstrap justication.


Keywords:
Gaussian Process, Kernel methods, Wasserstein Distance
JEL classification: