Conditional mode regression: Application to functional time series prediction

Abstract

We consider $\alpha$-mixing observations and deal with the estimation of the conditional mode of a scalar response variable $Y$ given a random variable $X$ taking values in a semi-metric space. We provide a convergence rate in $L^p$ norm of the estimator. A useful and typical application to functional times series prediction is given.

Submitted to the Electronic Journal of Statistics (http://www.i-journals.org/ejs/) by the Institute of Mathematical Statistics (http://www.imstat.org)