Humboldt-Universität zu Berlin - High Dimensional Nonstationary Time Series

IRTG1792DP2018 031

Gaussian Process Forecast with multidimensional distributional entries

Andzhey Koziuk
Vladimir Spokoiny

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.

Gaussian Process, Kernel methods, Wasserstein Distance
JEL classification: