Jackknife model averaging for expectile regressions in increasing dimension
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Publication:2226835
DOI10.1016/J.ECONLET.2020.109607zbMath1459.62061OpenAlexW3092041919MaRDI QIDQ2226835
Publication date: 9 February 2021
Published in: Economics Letters (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.econlet.2020.109607
Applications of statistics to economics (62P20) Nonparametric regression and quantile regression (62G08) Nonparametric statistical resampling methods (62G09) Statistical aspects of big data and data science (62R07)
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Cites Work
- Asymmetric Least Squares Estimation and Testing
- Assessing value at risk with CARE, the conditional autoregressive expectile models
- Jackknife model averaging
- Jackknife model averaging for quantile regressions
- Model averaging by jackknife criterion in models with dependent data
- Consequences and Detection of Misspecified Nonlinear Regression Models
- Regression Quantiles
- Model Selection: An Integral Part of Inference
- High Dimensional Variable Selection via Tilting
- Least Squares Model Averaging
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