Cumulative distribution function for the conditional density.
Parameters: | endog_predict: array_like, optional :
exog_predict: array_like, optional :
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Returns: | cdf_est: array_like :
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Notes
For more details on the estimation see [R21], and p.181 in [R20].
The multivariate conditional CDF for mixed data (continuous and ordered/unordered discrete) is estimated by:
where G() is the product kernel CDF estimator for the dependent (y) variable(s) and W() is the product kernel CDF estimator for the independent variable(s).
References
[R20] | (1, 2) Racine, J., Li, Q. Nonparametric econometrics: theory and practice. Princeton University Press. (2007) |
[R21] | (1, 2) Liu, R., Yang, L. “Kernel estimation of multivariate cumulative distribution function.” Journal of Nonparametric Statistics (2008) |