High-Dimensional Expected Shortfall Regression
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Cites work
- \(\ell_1\)-penalized quantile regression in high-dimensional sparse models
- A general theory of hypothesis tests and confidence regions for sparse high dimensional models
- A joint quantile and expected shortfall regression framework
- A Unified Algorithm for Penalized Convolution Smoothed Quantile Regression
- Analysis of global and local optima of regularized quantile regression in high dimensions: a subgradient approach
- Asymptotic Statistics
- Calibrating nonconvex penalized regression in ultra-high dimension
- Coherent measures of risk
- Concentration inequalities. A nonasymptotic theory of independence
- Confidence intervals for low dimensional parameters in high dimensional linear models
- Consistent model selection criteria on high dimensions
- Consistent tuning parameter selection in high dimensional sparse linear regression
- Debiasing the Lasso: optimal sample size for Gaussian designs
- Detection of treatment effects by covariate-adjusted expected shortfall
- Double/debiased machine learning for treatment and structural parameters
- Dynamic semiparametric models for expected shortfall (and value-at-risk)
- Extended Bayesian information criteria for model selection with large model spaces
- High-Dimensional Quantile Regression: Convolution Smoothing and Concave Regularization
- High-dimensional statistics. A non-asymptotic viewpoint
- Higher order elicitability and Osband's principle
- scientific article; zbMATH DE number 3738700 (Why is no real title available?)
- scientific article; zbMATH DE number 845714 (Why is no real title available?)
- Individual Data Protected Integrative Regression Analysis of High-Dimensional Heterogeneous Data
- Making and evaluating point forecasts
- Nearly unbiased variable selection under minimax concave penalty
- Nonparametric Estimation and Sensitivity Analysis of Expected Shortfall
- On asymptotically optimal confidence regions and tests for high-dimensional models
- One-Step Huber Estimates in the Linear Model
- Regression Quantiles
- Regularization and Variable Selection Via the Elastic Net
- Risk tuning with generalized linear regression
- Robust estimation and inference for expected shortfall regression with many regressors
- Sparse Composite Quantile Regression in Ultrahigh Dimensions With Tuning Parameter Calibration
- Statistics for high-dimensional data. Methods, theory and applications.
- Strong oracle optimality of folded concave penalized estimation
- Superquantile regression with applications to buffered reliability, uncertainty quantification, and conditional value-at-risk
- The Elements of Statistical Learning
- Tuning parameter selection in high dimensional penalized likelihood
- Variable Selection via Nonconcave Penalized Likelihood and its Oracle Properties
- Variance estimation using refitted cross-validation in ultrahigh dimensional regression
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