The problem of prediction is revisited with a view towards going beyond the typical nonparametric setting and reaching a fully model-free environment for predictive inference, i.e., point predictors and predictive intervals. A basic principle of model-free prediction is laid out based on the...

In this paper we introduce a flexible approach to approximate the regression function in the case of a functional predictor and a scalar response. Following the Projection Pursuit Regression principle, we derive an additive decomposition which exploits the most interesting projections of the...

We present a new method for estimating the endpoint of a unidimensional sample when the distribution function decreases at a polynomial rate to zero in the neighborhood of the endpoint. The estimator is based on the use of high-order moments of the variable of interest. It is assumed that the...