Nonparametric prediction in measurement error models

Abstract

Predicting the value of a variable Y corresponding to a future value of an explanatory variable X, based on a sample of previously observed independent data pairs (X1,Y1), . . . , (Xn,Yn) distributed like (X,Y), is very important in statistics. In the error-free case, where X is observed accurately, this problem is strongly related to that of standard regression estimation, since prediction of Y can be achieved via estimation of the regression curve E(Y|X).When the observed Xis and the future observation of X are measured with error, prediction is of a quite different nature. Here, if T denotes the future (contaminated) available version of X, prediction of Y can be achieved via estimation o..