# Flexible conditional density estimation for time series

arXiv: https://arxiv.org/abs/2301.09671 · HTML: https://mlsanity.com/paper/2301.09671/

## Key facts

- No citing papers in the map yet (data through 14 Oct 2026).
- Builds on 9 of its 42 references that are in the map.
- First posted on arXiv 23 Jan 2023.

## Builds on (most cited first, 9 of 9)

- [Attention Is All You Need](https://mlsanity.com/paper/1706.03762/) (2017)
- [On the Properties of Neural Machine Translation: Encoder-Decoder Approaches](https://mlsanity.com/paper/1409.1259/) (2014)
- [CD-split and HPD-split: efficient conformal regions in high dimensions](https://mlsanity.com/paper/2007.12778/) (2020)
- [Flexible distribution-free conditional predictive bands using density estimators](https://mlsanity.com/paper/1910.05575/) (2019)
- [Converting High-Dimensional Regression to High-Dimensional Conditional Density Estimation](https://mlsanity.com/paper/1704.08095/) (2017)
- [Conditional Density Estimation Tools in Python and R with Applications to Photometric Redshifts and Likelihood-Free Cosmological Inference](https://mlsanity.com/paper/1908.11523/) (2019)
- [Nonparametric Conditional Density Estimation in a High-Dimensional Regression Setting](https://mlsanity.com/paper/1604.00540/) (2016)
- [High-Dimensional Density Ratio Estimation with Extensions to Approximate Likelihood Computation](https://mlsanity.com/paper/1404.7063/) (2014)
- [A Spectral Series Approach to High-Dimensional Nonparametric Regression](https://mlsanity.com/paper/1602.00355/) (2016)

## Abstract (arXiv)

This paper introduces FlexCodeTS, a new conditional density estimator for time series. FlexCodeTS is a flexible nonparametric conditional density estimator, which can be based on an arbitrary regression method. It is shown that FlexCodeTS inherits the rate of convergence of the chosen regression method. Hence, FlexCodeTS can adapt its convergence by employing the regression method that best fits the structure of data. From an empirical perspective, FlexCodeTS is compared to NNKCDE and GARCH in both simulated and real data. FlexCodeTS is shown to generally obtain the best performance among the selected methods according to either the CDE loss or the pinball loss.