The kth power expectile regression

DOI10.1007/S10463-019-00738-YMaRDI QIDQ2046477zbMATH OpenOpenAlexFDO

Authors Yingying Jiang, Fuming Lin, Yong Zhou

Publication date 18 August 2021

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

Full work available at URL https://doi.org/10.1007/s10463-019-00738-y

zbMATH Keywords

asymptotic normalityconsistencyefficiencyexpectilesquantilesrobustness

Mathematics Subject Classification ID

Nonparametric regression and quantile regression (62G08) Asymptotic properties of nonparametric inference (62G20) Applications of statistics to economics (62P20)

Review text

For a classical linear regression model, quantile and expectile regression methods have been proposed to improve the traditional least square estimates for the regression coefficients. The estimators from these methods are obtained by minimizing a total asymmetric \(k\)th power error loss with respectively \(k=1\) and 2. More general estimators with \(1<k\leq 2\) are considered in this paper. An estimator with \(1<k<2\) would offer a compromise between the robustness with \(k=1\) and high-normal-theory efficiency with \(k=2\). Large sample properties, such as consistency and asymptotic normality, of the proposed estimators are established in this paper under some regularity conditions. A consistent variance estimator and a computing algorithm are also developed. Simulation studies are performed to compare the efficiency of the proposed estimator with the estimators obtained from quantile and expectile regression and a method is proposed to select \(k\) to gain more efficiency in applications. The proposed methods are applied to analyze the incomes of migrant workers from a survey conducted by the State Statistical Bureau of China in 2011.

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Cited in

(15)

• The exponentiated power exponential semiparametric regression model
• Improved kth power expectile regression with nonignorable dropouts
• A power analysis for Model-X knockoffs with _p-regularized statistics
• Communication‐efficient low‐dimensional parameter estimation and inference for high‐dimensional Lp$$ {L}^p $$‐quantile regression
• The kth power expectile estimation and testing
• Estimation of tail risk using extreme expectiles in linear GARCH models with heavy-tailed error
• Estimation of value-at-risk by L^p quantile regression
• Exponential L ^p -quantile estimation of function-on-scalar model with its applications in functional data analysis
• Linear mixed effects double penalized L _p -quantile regression model for longitudinal data
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• On a general class of functionals: statistical inference and application to risk measures
• Optimal subsampling for L_p-quantile regression via decorrelated score
• Expectile periodogram
• L^p-quantile regression for varying coefficient partially functional linear models
• Optimal expectile smoothing

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Uses Software

• CAViaR

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