A continuous threshold expectile model (Q1658402)

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Language	Label	Description	Also known as
English	A continuous threshold expectile model	scientific article

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scholarly article

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A continuous threshold expectile model (English)

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Computational Statistics and Data Analysis

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publication date

14 August 2018

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full work available at URL

https://arxiv.org/abs/1611.02609

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http://europepmc.org/articles/pmc5731791

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zbMATH Keywords

expectile regression

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threshold

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weighted CUSUM test

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grid search method

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describes a project that uses

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MaRDI profile type

MaRDI publication profile

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On the Estimation of Production Frontiers: Maximum Likelihood Estimation of the Parameters of a Discontinuous Density Function

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Tests for Parameter Instability and Structural Change With Unknown Change Point

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Testing for Parameter Constancy in Linear Regressions: An Empirical Distribution Function Approach

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Consistency and limiting distribution of the least squares estimator of a threshold autoregressive model

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Limiting properties of the least squares estimator of a continuous threshold autoregressive model

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Bent-Cable Regression Theory and Applications

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Testing for Regime Switching

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Quantiles, expectiles and splines

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On asymptotic distribution theory in segmented regression problems - identified case

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Inference When a Nuisance Parameter Is Not Identified Under the Null Hypothesis

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Robust Nonparametric Statistical Methods

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Inference about the intersection in two-phase regression

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Nonlinear expectile regression with application to value-at-risk and expected shortfall estimation

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Beyond mean regression

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Regression Quantiles

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Inference under right censoring for transformation models with a change-point based on a covariate threshold

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Assessing value at risk with CARE, the conditional autoregressive expectile models

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Testing for Threshold Effects in Regression Models

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Bent Line Quantile Regression with Application to an Allometric Study of Land Mammals' Speed and Mass

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Asymmetric Least Squares Estimation and Testing

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Convergence of stochastic processes

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Testing for structural change in regression quantiles

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The Estimation of the Parameters of a Linear Regression System Obeying Two Separate Regimes

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Tests of the Hypothesis that a Linear Regression System Obeys Two Separate Regimes

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Optimal expectile smoothing

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Expectile and quantile regression—David and Goliath?

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On confidence intervals for semiparametric expectile regression

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Nonparametric model checks for regression

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Worm plot to diagnose fit in quantile regression

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Asymptotic Statistics

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Asymmetric least squares regression estimation: A nonparametric approach<sup>∗</sup>

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Robust bent line regression

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Identifiers

zbMATH Open document ID

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10.1016/j.csda.2017.07.005

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Mathematics Subject Classification ID

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zbMATH DE Number

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Sitelinks

Mathematics(1 entry)

mardi Publication:1658402

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