Nonparametric multiple expectile regression via ER-Boost

DOI10.1080/00949655.2013.876024MaRDI QIDQ5220800zbMATH OpenOpenAlexFDO

Authors Yi Yang, Hui Zou

Publication date 27 March 2020

Published in Journal of Statistical Computation and Simulation (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/00949655.2013.876024

zbMATH Keywords

asymmetric least squaresexpectile regressionfunctional gradient descentgradient boostingregression tree

Mathematics Subject Classification ID

Computational methods for problems pertaining to statistics (62-08) Nonparametric regression and quantile regression (62G08) Linear regression; mixed models (62J05)

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Cites work

• A decision-theoretic generalization of on-line learning and an application to boosting
• Additive logistic regression: a statistical view of boosting. (With discussion and a rejoinder by the authors)
• Arcing classifiers. (With discussion)
• Asymmetric Least Squares Estimation and Testing
• Asymmetric least squares regression estimation: A nonparametric approach^∗
• Boosting algorithms: regularization, prediction and model fitting
• Expectiles and M-quantiles are quantiles
• Greedy function approximation: A gradient boosting machine.
• scientific article; zbMATH DE number 3860199 (Why is no real title available?)
• scientific article; zbMATH DE number 775727 (Why is no real title available?)
• Prediction Games and Arcing Algorithms
• Quantile regression.
• Random forests
• Regression Quantiles
• Small area estimation of the homeless in Los Angeles: an application of cost-sensitive stochastic gradient boosting

Cited in

(22)

• Local polynomial expectile regression
• Two-step sparse boosting for high-dimensional longitudinal data with varying coefficients
• An SVM-like approach for expectile regression
• Bayesian regularisation in geoadditive expectile regression
• KLERC: kernel Lagrangian expectile regression calculator
• Dynamic large financial networks \textit{via} conditional expected shortfalls
• Efficient estimation in expectile regression using envelope models
• Geoadditive expectile regression
• A new GEE method to account for heteroscedasticity using asymmetric least-square regressions
• Asymmetric influence measure for high dimensional regression
• Smooth expectiles for panel data using penalized splines
• An elastic-net penalized expectile regression with applications
• erboost
• Iteratively reweighted least square for kernel expectile regression with random features
• Dimension reduction techniques for conditional expectiles
• Expectile regression via deep residual networks
• Flexible Expectile Regression in Reproducing Kernel Hilbert Spaces
• Learning rates for kernel-based expectile regression
• Expectile regression for multi-category outcomes with application to small area estimation of labour force participation
• Group penalized expectile regression
• Weighted expectile regression neural networks for right censored data
• Minimax rates of convergence for nonparametric location-scale models

Describes a project that uses

Uses Software

• AdaBoost.MH
• R
• gbm
• erboost

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