Model selection in semiparametric expectile regression

DOI10.1214/17-EJS1307MaRDI QIDQ2408228zbMATH OpenOpenAlexFDO

Authors Elmar Spiegel, Fabian Sobotka, Thomas Kneib

Publication date 12 October 2017

Published in Electronic Journal of Statistics (Search for Journal in Brave)

Full work available at URL https://projecteuclid.org/euclid.ejs/1502416822

zbMATH Keywords

boostingexpectilesleast asymmetrically weighted squaresmodel selectionnon-negative garrottesemiparametric regression

Mathematics Subject Classification ID

Nonparametric regression and quantile regression (62G08) General nonlinear regression (62J02) Ridge regression; shrinkage estimators (Lasso) (62J07) Applications of statistics to biology and medical sciences; meta analysis (62P10)

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Cited in

(17)

• A continuous threshold expectile model
• Optimal model averaging estimator for expectile regressions
• Efficient estimation in expectile regression using envelope models
• Shrinkage estimation of fixed and random effects in linear quantile mixed models
• Expected predictive least squares for model selection in covariance structures
• Smooth expectiles for panel data using penalized splines
• An elastic-net penalized expectile regression with applications
• Partially Linear Expectile Regression Using Local Polynomial Fitting
• High-dimensional expectile regression incorporating graphical structure among predictors
• Expectile trace regression via low-rank and group sparsity regularization
• M-quantile regression shrinkage and selection via the Lasso and elastic net to assess the effect of meteorology and traffic on air quality
• Composite expectile estimation in partial functional linear regression model
• Weighted expectile regression for right-censored data
• Divide and conquer for generalized approximately expectile regression
• Semiparametric expectile regression for high-dimensional heavy-tailed and heterogeneous data
• On confidence intervals for semiparametric expectile regression
• Variable selection in high-dimensional linear model with possibly asymmetric errors

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