Nonparametric multiple expectile regression via ER-Boost

DOI10.1080/00949655.2013.876024zbMath1457.62124OpenAlexW1975445189MaRDI QIDQ5220800

Yi Yang, Hui Zou

Publication date: 27 March 2020

Published in: Journal of Statistical Computation and Simulation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/00949655.2013.876024

zbMATH Keywords

asymmetric least squaresregression treegradient boostingfunctional gradient descentexpectile regression

Mathematics Subject Classification ID

Computational methods for problems pertaining to statistics (62-08) Nonparametric regression and quantile regression (62G08) Linear regression; mixed models (62J05)

Related Items (14)

Two-step sparse boosting for high-dimensional longitudinal data with varying coefficients ⋮ A new GEE method to account for heteroscedasticity using asymmetric least-square regressions ⋮ An SVM-like approach for expectile regression ⋮ Asymmetric influence measure for high dimensional regression ⋮ Iteratively reweighted least square for kernel expectile regression with random features ⋮ Dimension reduction techniques for conditional expectiles ⋮ Bayesian regularisation in geoadditive expectile regression ⋮ Learning rates for kernel-based expectile regression ⋮ erboost ⋮ KLERC: kernel Lagrangian expectile regression calculator ⋮ Local polynomial expectile regression ⋮ Efficient estimation in expectile regression using envelope models ⋮ Dynamic large financial networks \textit{via} conditional expected shortfalls ⋮ An elastic-net penalized expectile regression with applications

Uses Software

• R
• gbm
• AdaBoost.MH
• erboost

Cites Work

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• Greedy function approximation: A gradient boosting machine.
• Asymmetric Least Squares Estimation and Testing
• Boosting algorithms: regularization, prediction and model fitting
• Small area estimation of the homeless in Los Angeles: an application of cost-sensitive stochastic gradient boosting
• Expectiles and \(M\)-quantiles are quantiles
• A decision-theoretic generalization of on-line learning and an application to boosting
• Arcing classifiers. (With discussion)
• Additive logistic regression: a statistical view of boosting. (With discussion and a rejoinder by the authors)
• Regression Quantiles
• Asymmetric least squares regression estimation: A nonparametric approach^∗
• Prediction Games and Arcing Algorithms
• Random forests

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