The functional kNN estimator of the conditional expectile: uniform consistency in number of neighbors

DOI10.1515/STRM-2019-0029zbMATH Open1493.62151OpenAlexW3205327183MaRDI QIDQ2076038FDOQ2076038

Authors: Ibrahim M. Almanjahie, Zouaoui Chikr-el-Mezouar, Ali Laksaci, Salim Bouzebda 

Publication date: 18 February 2022

Published in: Statistics \& Risk Modeling (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1515/strm-2019-0029

Recommendations

• Uniform consistency in number of neighbors of the \(k\)NN estimator of the conditional quantile model
• The consistency and asymptotic normality of the kernel type expectile regression estimator for functional data
• Local linear estimate of the functional expectile regression
• Uniform consistency of \(k\mathrm{NN}\) regressors for functional variables
• Uniform consistency and uniform in number of neighbors consistency for nonparametric regression estimates and conditional \(U\)-statistics involving functional data

zbMATH Keywords

functional data analysisexpectile regression\(k\mathrm{NN}\) methodalmost complete convergence ratefunctional nonparametric statisticsUNN consistency

Mathematics Subject Classification ID

Nonparametric estimation (62G05) Nonparametric regression and quantile regression (62G08) Asymptotic properties of nonparametric inference (62G20) Estimation in multivariate analysis (62H12)

Cites Work

• Weak convergence and empirical processes. With applications to statistics
• Introduction to empirical processes and semiparametric inference
• Functional data analysis.
• Nonparametric functional data analysis. Theory and practice.
• Inference for functional data with applications
• On the Estimation of Production Frontiers: Maximum Likelihood Estimation of the Parameters of a Discontinuous Density Function
• Title not available (Why is that?)
• Of Quantiles and Expectiles: Consistent Scoring Functions, Choquet Representations and Forecast Rankings
• Asymmetric Least Squares Estimation and Testing
• Uniform in bandwidth consistency of kernel-type function estimators
• A family of minimax rates for density estimators in continuous time
• U-processes: Rates of convergence
• Convergence of stochastic processes
• Expectiles and \(M\)-quantiles are quantiles
• Relating quantiles and expectiles under weighted-symmetry
• Generalized quantiles as risk measures
• Coherence and elicitability
• M-quantiles
• Geoadditive expectile regression
• Statistical Inference for Expectile‐based Risk Measures
• Tail expectile process and risk assessment
• Data-driven \(k\)NN estimation in nonparametric functional data analysis
• Assessing value at risk with CARE, the conditional autoregressive expectile models
• Uniform consistency of \(k\mathrm{NN}\) regressors for functional variables
• Uniform Central Limit Theorems
• Estimation of Tail Risk Based on Extreme Expectiles
• A note on prediction via estimation of the conditional mode function
• Convex measures of risk and trading constraints
• Relative-error prediction in nonparametric functional statistics: theory and practice
• Asymptotic results for an \(L^1\)-norm kernel estimator of the conditional quantile for functional dependent data with application to climatology
• k-Nearest Neighbour method in functional nonparametric regression
• Recursive kernel estimate of the conditional quantile for functional ergodic data
• Expectile asymptotics
• One bootstrap suffices to generate sharp uniform bounds in functional estimation
• On robust nonparametric regression estimation for a functional regressor
• Beyond mean regression
• Lectures on the nearest neighbor method
• Nonparametric regression expectiles^∗
• Learning rates for kernel-based expectile regression
• Conditional expectiles, time consistency and mixture convexity properties
• Expectile regression for analyzing heteroscedasticity in high dimension
• Uniform in bandwidth consistency for various kernel estimators involving functional data
• Nonparametric modelling for functional data: selected survey and tracks for future
• Editorial for the special issue on functional data analysis and related topics
• Backtesting VaR and expectiles with realized scores
• NONPARAMETRIC ESTIMATION OF CONDITIONAL VALUE-AT-RISK AND EXPECTED SHORTFALL BASED ON EXTREME VALUE THEORY
• The consistency and asymptotic normality of the kernel type expectile regression estimator for functional data
• FDA: strong consistency of the kNN local linear estimation of the functional conditional density and mode
• Conditional VAR and Expected Shortfall: A New Functional Approach

Cited In (10)

• Uniform consistency and uniform in number of neighbors consistency for nonparametric regression estimates and conditional \(U\)-statistics involving functional data
• Local linear estimate of the functional expectile regression
• The \(k\)-nearest neighbors method in single index regression model for functional quasi-associated time series data
• The local linear functional \(k\)NN estimator of the conditional expectile: uniform consistency in number of neighbors
• Asymptotic normality for the wavelet partially linear additive model components estimation
• Functional Uniform-in-Bandwidth Moderate Deviation Principle for the Local Empirical Processes Involving Functional Data
• Weak-convergence of empirical conditional processes and conditional \(U\)-processes involving functional mixing data
• The \(k\)-nearest neighbour local linear estimation of the conditional hazard function in high-dimensional statistics
• Uniform-in-bandwidth consistency results in the partially linear additive model components estimation
• \(k\)-nearest neighbor estimation of inverse-density-weighted expectations with dependent data

Uses Software

• fda (R)

This page was built for publication: The functional \(k\mathrm{NN}\) estimator of the conditional expectile: uniform consistency in number of neighbors

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2076038)