Aggregated Expectile Regression by Exponential Weighting

DOI10.5705/SS.202016.0285MaRDI QIDQ5226603zbMATH OpenOpenAlexWikidataFDO

Authors Yuwen Gu, Hui Zou

Publication date 1 August 2019

Published in STATISTICA SINICA (Search for Journal in Brave)

Full work available at URL https://doi.org/10.5705/ss.202016.0285

zbMATH Keywords

cross-validationexpectile regressionmodel aggregationoracle inequality

Mathematics Subject Classification ID

Ridge regression; shrinkage estimators (Lasso) (62J07) Applications of statistics to actuarial sciences and financial mathematics (62P05)

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Cited in

(5)

• Partially Linear Expectile Regression Using Local Polynomial Fitting
• Retire: robust expectile regression in high dimensions
• Expectile regression via deep residual networks
• Divide and conquer for generalized approximately expectile regression
• Minimax rates of convergence for nonparametric location-scale models

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