Hotelling tubes, confidence bands and conformal inference

Abstract Stochastic frontier models and methods as pioneered by Peter Schmidt in Aigner et al. (J Econom 6:21–37, 1977), Horrace Product Anal 7:257–282, 1996), Amsler 190:280–288, 2016) constitute a rare departure from the usual econometric obsession with for conditional means. They also provided an early stimulus development of quantile regression methods. After brief tutorial on Hotelling tube constructing confidence bands nonparametric regression, strengthened performance guarantees such are described based recent developments conformal inference. These may be considered to rather idiosyncratic new approach inference stochastic models.