On confidence intervals for semiparametric expectile regression

DOI10.1007/S11222-011-9297-1zbMath1322.62136OpenAlexW2082905322MaRDI QIDQ746256

Göran Kauermann, Thomas Kneib, Fabian Sobotka, Linda Schulze Waltrup

Publication date: 16 October 2015

Published in: Statistics and Computing (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11222-011-9297-1

zbMATH Keywords

confidence intervalssemiparametric regressionP-splinesexpectilesleast asymmetrically weighted squares

Mathematics Subject Classification ID

Nonparametric regression and quantile regression (62G08) Applications of statistics to biology and medical sciences; meta analysis (62P10) Nonparametric tolerance and confidence regions (62G15)

Related Items (22)

Shrinkage estimation of fixed and random effects in linear quantile mixed models ⋮ Expectile asymptotics ⋮ A continuous threshold expectile model ⋮ An SVM-like approach for expectile regression ⋮ A new estimation method for continuous threshold expectile model ⋮ Coverage probabilities of confidence intervals for the slope parameter of linear regression model when the error term is not normally distributed ⋮ Asymmetric influence measure for high dimensional regression ⋮ Penalized expectile regression: an alternative to penalized quantile regression ⋮ Functional additive expectile regression in the reproducing kernel Hilbert space ⋮ Weighted expectile regression with covariates missing at random ⋮ Dimension reduction techniques for conditional expectiles ⋮ Partially Linear Expectile Regression Using Local Polynomial Fitting ⋮ Bayesian regularisation in geoadditive expectile regression ⋮ Smooth expectiles for panel data using penalized splines ⋮ Efficient estimation in expectile regression using envelope models ⋮ Beyond mean regression ⋮ Expectile and quantile regression—David and Goliath? ⋮ Spatio-temporal expectile regression models ⋮ Bayesian expectile regression with asymmetric normal distribution ⋮ Binary quantile regression and variable selection: A new approach ⋮ An elastic-net penalized expectile regression with applications ⋮ Modelling Flow in Gas Transmission Networks Using Shape-Constrained Expectile Regression

Uses Software

• R
• GAMLSS
• Expectreg
• bootstrap

Cites Work

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• Asymmetric Least Squares Estimation and Testing
• Geoadditive expectile regression
• Optimal expectile smoothing
• Expectiles and \(M\)-quantiles are quantiles
• Flexible smoothing with \(B\)-splines and penalties. With comments and a rejoinder by the authors
• High-dimensional graphs and variable selection with the Lasso
• Identifying Risk Factors for Severe Childhood Malnutrition by Boosting Additive Quantile Regression
• Geoadditive Models
• M-quantiles
• Estimation in generalized linear models with random effects
• Regression Quantiles
• Gaussian Markov Random Fields
• Generalized Additive Models for Location, Scale and Shape

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