Asymmetric least squares regression estimation: A nonparametric approach∗

DOI10.1080/10485259608832675zbMath0879.62038OpenAlexW2039728298MaRDI QIDQ4345899

Howell Tong, Qiwei Yao

Publication date: 22 January 1998

Published in: Journal of Nonparametric Statistics (Search for Journal in Brave)

Full work available at URL: http://eprints.lse.ac.uk/19423/

zbMATH Keywords

kernel estimation\(\rho\)-mixinglocal linear regressionexpectileasymmetric least squares estimatorprecentile

Mathematics Subject Classification ID

Density estimation (62G07) Asymptotic properties of nonparametric inference (62G20)

Related Items (41)

Extremile Regression ⋮ Robust estimation and shrinkage in ultrahigh dimensional expectile regression with heavy tails and variance heterogeneity ⋮ Nonparametric regression under dependent errors with infinite variance ⋮ On expectile-assisted inverse regression estimation for sufficient dimension reduction ⋮ Simultaneous confidence bands for expectile functions ⋮ Assessing value at risk with CARE, the conditional autoregressive expectile models ⋮ Scenario aggregation method for portfolio expectile optimization ⋮ A continuous threshold expectile model ⋮ An SVM-like approach for expectile regression ⋮ Variable selection in expectile regression ⋮ The consistency and asymptotic normality of the kernel type expectile regression estimator for functional data ⋮ Dimension reduction techniques for conditional expectiles ⋮ Partially Linear Expectile Regression Using Local Polynomial Fitting ⋮ Parametric expectile regression and its application for premium calculation ⋮ Bayesian regularisation in geoadditive expectile regression ⋮ Generalizing Koenker's distribution ⋮ Extreme M-quantiles as risk measures: from \(L^{1}\) to \(L^{p}\) optimization ⋮ Nonparametric estimation equations for time series data. ⋮ A Local Linear Least-Absolute-Deviations Estimator of Volatility ⋮ Fair dynamic valuation of insurance liabilities: a loss averse convex hedging approach ⋮ Learning rates for kernel-based expectile regression ⋮ ESTIMATION OF HIGH CONDITIONAL TAIL RISK BASED ON EXPECTILE REGRESSION ⋮ A discrete density approach to Bayesian quantile and expectile regression with discrete responses ⋮ Smooth expectiles for panel data using penalized splines ⋮ A dynamic autoregressive expectile for time-invariant portfolio protection strategies ⋮ Properties of fuzzy transform obtained from \(L_p\) minimization and a connection with Zadeh's extension principle ⋮ Local polynomial expectile regression ⋮ Efficient estimation in expectile regression using envelope models ⋮ Functional data analysis of generalized regression quantiles ⋮ The \(k\)th power expectile regression ⋮ The second-order asymptotic properties of asymmetric least squares estimation ⋮ Expectile and quantile regression—David and Goliath? ⋮ Spatio-temporal expectile regression models ⋮ Nonparametric multiple expectile regression via ER-Boost ⋮ Econometric modeling of risk measures: a selective review of the recent literature ⋮ Dynamic large financial networks \textit{via} conditional expected shortfalls ⋮ Quantile and expectile smoothing based on \(L_1\)-norm and \(L_2\)-norm fuzzy transforms ⋮ Cross-validatory bandwidth selections for regression estimation based on dependent data ⋮ Binary quantile regression and variable selection: A new approach ⋮ An elastic-net penalized expectile regression with applications ⋮ The MLE of Aigner, Amemiya, and Poirier is not the expectile MLE

Cites Work

• Unnamed Item
• Unnamed Item
• Asymmetric Least Squares Estimation and Testing
• Choosing a kernel regression estimator. With comments and a rejoinder by the authors
• An Empirical Quantile Function for Linear Models with | operatornameiid Errors
• Design-adaptive Nonparametric Regression
• Regression Quantiles
• On prediction and chaos in stochastic systems

This page was built for publication: Asymmetric least squares regression estimation: A nonparametric approach^∗