Local polynomial expectile regression

DOI10.1007/s10463-021-00799-yOpenAlexW3159489076MaRDI QIDQ123172

C. Adam, 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 normalitylocal polynomial fittingquantile regressionbandwidth selectionexpectile regression

Mathematics Subject Classification ID

Statistics (62-XX)

Related Items

Partially Linear Expectile Regression Using Local Polynomial Fitting, locpolExpectile

Uses Software

• KernSmooth
• erboost

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Asymmetric Least Squares Estimation and Testing
• Iterative weighted least squares estimators
• Optimal expectile smoothing
• Testing heteroscedasticity in nonparametric regression models based on residual analysis
• Expectiles and \(M\)-quantiles are quantiles
• Relating quantiles and expectiles under weighted-symmetry
• Generalized quantiles as risk measures
• Quantiles, expectiles and splines
• COHERENCE AND ELICITABILITY
• Iteratively Reweighted Least Squares: Algorithms, Convergence Analysis, and Numerical Comparisons
• M-quantiles
• Local Linear Quantile Regression
• Regression Quantiles
• Asymmetric least squares regression estimation: A nonparametric approach^∗
• Expectile and quantile regression—David and Goliath?
• Nonparametric multiple expectile regression via ER-Boost
• Statistical Inference for Expectile‐based Risk Measures
• Robust Statistics
• On Quantile‐based Asymmetric Family of Distributions: Properties and Inference