Asymmetric Least Squares Estimation and Testing
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Cited in
(only showing first 100 items - show all)- Conditional \(L_ p\)-quantiles and their application to the testing of symmetry in non-parametric regression
- Local polynomial expectile regression
- Semiparametric median estimation of the Type 3 Tobit model
- Expectiles and M-quantiles are quantiles
- Asymmetric recursive methods for time series
- Pairwise difference estimators of censored and truncated regression models
- Quantile regression, Box-Cox transformation model and the U.S. wage structure, 1963--1987
- Tail risk inference via expectiles in heavy-tailed time series
- Estimation of Type 3 Tobit models using symmetric trimming and pairwise comparisons
- Asymmetric adjustment and bias in estimation of an equilibrium relationship from a cointegrating regression
- On M-estimators and normal quantiles.
- Risk
- Robustifying Glejser test of heteroskedasticity
- Glejser's test revisited
- Asymmetric least squares support vector machine classifiers
- Expectiles, omega ratios and stochastic ordering
- Forecast dominance testing via sign randomization
- Simultaneous estimation of quantile curves using quantile sheets
- Reverse sensitivity testing: what does it take to break the model?
- Expectile regression for analyzing heteroscedasticity in high dimension
- Spatial expectile predictions for elliptical random fields
- A continuous threshold expectile model
- An SVM-like approach for expectile regression
- On the computation of multivariate scenario sets for the skew-t and generalized hyperbolic families
- Nonlinear expectile regression with application to value-at-risk and expected shortfall estimation
- Multivariate factorizable expectile regression with application to fMRI data
- Bayesian quantile regression using the skew exponential power distribution
- Bayesian regularisation in geoadditive expectile regression
- Risk measures based on behavioural economics theory
- Estimation of conditional extreme risk measures from heavy-tailed elliptical random vectors
- Extreme M-quantiles as risk measures: from \(L^{1}\) to \(L^{p}\) optimization
- Extremes for multivariate expectiles
- Conditional expectiles, time consistency and mixture convexity properties
- Estimation of best predictors of binary response
- Relating quantiles and expectiles under weighted-symmetry
- Non-parametric bootstrap mean squared error estimation for M-quantile estimators of small area averages, quantiles and poverty indicators
- Small area estimation via M-quantile geographically weighted regression
- Expectiles for subordinated Gaussian processes with applications
- A dynamic autoregressive expectile for time-invariant portfolio protection strategies
- KLERC: kernel Lagrangian expectile regression calculator
- Principle of minimizing empirical risk and averaging aggregate functions
- Dynamic semiparametric models for expected shortfall (and value-at-risk)
- Generalized quantiles as risk measures
- Elicitability and identifiability of set-valued measures of systemic risk
- Estimation of spatio-temporal extreme distribution using a quantile factor model
- Shadow prices and marginal abatement costs: convex quantile regression approach
- Risk parity with expectiles
- Expectile depth: theory and computation for bivariate datasets
- Semi-parametric estimation of multivariate extreme expectiles
- Mean-expectile portfolio selection
- Forecast evaluation of quantiles, prediction intervals, and other set-valued functionals
- The \(k\)th power expectile regression
- Optimal model averaging estimator for expectile regressions
- Unified Bayesian conditional autoregressive risk measures using the skew exponential power distribution
- On the elicitability of range value at risk
- Extreme conditional expectile estimation in heavy-tailed heteroscedastic regression models
- On the estimation of the variability in the distribution tail
- The functional \(k\mathrm{NN}\) estimator of the conditional expectile: uniform consistency in number of neighbors
- Correcting for sample selection bias in Bayesian distributional regression models
- Dynamic large financial networks \textit{via} conditional expected shortfalls
- \(K\)-expectiles clustering
- Uniform limit theorems for a class of conditional \(Z\)-estimators when covariates are functions
- Financial risk meter FRM based on expectiles
- Quantile regression feature selection and estimation with grouped variables using Huber approximation
- The relationship between longevity and lifespan variation
- Measurability of functionals and of ideal point forecasts
- The goat in the city
- Statistical inference in the partial functional linear expectile regression model
- Local linear estimate of the functional expectile regression
- Robust estimation and shrinkage in ultrahigh dimensional expectile regression with heavy tails and variance heterogeneity
- Distributed optimization and statistical learning for large-scale penalized expectile regression
- Characterizing the optimal solutions to the isotonic regression problem for identifiable functionals
- Point forecasting and forecast evaluation with generalized Huber loss
- Joint inference on extreme expectiles for multivariate heavy-tailed distributions
- Multivariate \(\rho \)-quantiles: a spatial approach
- Reference points and learning
- Marginal M-quantile regression for multivariate dependent data
- Performance measurement with expectiles
- Implicit quantiles and expectiles
- Multiple change-points estimation in linear regression models via an adaptive Lasso expectile loss function
- Real-time detection of a change-point in a linear expectile model
- Parametric measures of variability induced by risk measures
- On automatic bias reduction for extreme expectile estimation
- Asymptotic distributions and performance of empirical skewness measures
- Random distributions via sequential quantile array
- Pseudo-quantile functional data clustering
- Copula-based regression models with data missing at random
- ExpectHill estimation, extreme risk and heavy tails
- Jackknife model averaging for expectile regressions in increasing dimension
- A discrete density approach to Bayesian quantile and expectile regression with discrete responses
- Dual representation of expectile-based expected shortfall and its properties
- Weak convergence of quantile and expectile processes under general assumptions
- Tail expectile process and risk assessment
- Efficient estimation in expectile regression using envelope models
- A simple consistent test of conditional symmetry in symmetrically trimmed Tobit models
- The second-order asymptotic properties of asymmetric least squares estimation
- Asymptotic theory of the adaptive sparse group Lasso
- Econometric modeling of risk measures: a selective review of the recent literature
- A practical method of robust estimation in case of asymmetry
- Backtesting VaR and expectiles with realized scores
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