Taking the Fourier integral theorem as our starting point, in this paper we focus on natural Monte Carlo and fully nonparametric estimators of multivariate distributions and conditional distribution functions. We do this without the need for any estimated covariance matrix or dependence structure between variables. These aspects arise immediately from the integral theorem. Being able to model multivariate data sets using conditional distribution functions we can study a number of problems, such as prediction for Markov processes, estimation of mixing distribution functions which depend on covariates, and general multivariate data. Estimators are explicit Monte Carlo based and require no recursive or iterative algorithms.
翻译:以 Fourier 集成理论作为起点,本文将我们的重点放在自然的蒙特卡洛和完全非参数的多变分布和有条件分布函数的估算。我们这样做不需要变量之间任何估计的共变矩阵或依附结构。这些方面立即来自集成理论。如果能够使用有条件分布函数模拟多变数据集,我们可以研究一些问题,如对Markov进程的预测、对取决于共变分布的混合分布函数的估计以及一般的多变数据。刺激器以蒙特卡洛为主,不需要循环或迭代算法。