Local polynomial expectile regression

DOI10.1007/S10463-021-00799-YMaRDI QIDQ123172zbMATH OpenOpenAlexFDO

Authors C. Adam, Irène Gijbels

Publication date 5 May 2021

Published in Annals of the Institute of Statistical Mathematics (Search for Journal in Brave)

Full work available at URL https://lirias.kuleuven.be/handle/123456789/675054

zbMATH Keywords

asymptotic normalitybandwidth selectionexpectile regressionlocal polynomial fittingquantile regression

Mathematics Subject Classification ID

Statistics (62-XX)

Cites work

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• Nonparametric multiple expectile regression via ER-Boost
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• Quantile regression.
• Quantiles, expectiles and splines
• Regression Quantiles
• Relating quantiles and expectiles under weighted-symmetry
• Robust Statistics
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Cited in

(7)

• locpolExpectile
• Local Polynomial Regression and Simulation–Extrapolation
• Partially Linear Expectile Regression Using Local Polynomial Fitting
• Nonparametric estimation of conditional expectile-based risk measures
• Estimating expectile-optimal treatment regimes
• Minimax rates of convergence for nonparametric location-scale models
• Testing for Granger-causality in expectiles with an application to financial contagion

Describes a project that uses

Uses Software

• KernSmooth
• erboost

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