KLERC: kernel Lagrangian expectile regression calculator

DOI10.1007/S00180-020-01003-0MaRDI QIDQ1995837zbMATH OpenOpenAlexFDO

Authors Songfeng Zheng

Publication date 25 February 2021

Published in Computational Statistics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s00180-020-01003-0

zbMATH Keywords

quadratic programminglinear complementarity problemkernel functionLagrangian dual function

Mathematics Subject Classification ID

Computational methods for problems pertaining to statistics (62-08) Nonparametric regression and quantile regression (62G08) Complementarity and equilibrium problems and variational inequalities (finite dimensions) (aspects of mathematical programming) (90C33)

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Cites work

• scientific article; zbMATH DE number 53115 (Why is no real title available?)
• scientific article; zbMATH DE number 1332320 (Why is no real title available?)
• scientific article; zbMATH DE number 734930 (Why is no real title available?)
• scientific article; zbMATH DE number 775727 (Why is no real title available?)
• 10.1162/15324430152748218
• A feasible BFGS interior point algorithm for solving convex minimization problems
• A new pivoting algorithm for the linear complementarity problem allowing for an arbitrary starting point
• An SVM-like approach for expectile regression
• Asymmetric Least Squares Estimation and Testing
• Bayesian regularisation in geoadditive expectile regression
• Geoadditive expectile regression
• Greedy function approximation: A gradient boosting machine.
• Newton's method for linear complementarity problems
• Nonparametric multiple expectile regression via ER-Boost
• Numerical recipes. The art of scientific computing.
• On the uniqueness of solutions to linear complementarity problems
• Optimal expectile smoothing
• Quantile regression.

Cited in

(4)

• Learning rates for kernel-based expectile regression
• KLERC
• An SVM-like approach for expectile regression
• Iteratively reweighted least square for kernel expectile regression with random features

Describes a project that uses

Uses Software

• quadprog
• Ecdat
• Expectreg
• erboost
• KERE

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