Dynamic semi-parametric factor model for functional expectiles
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Publication:2418052
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Cites work
- M-quantiles
- A fast unified algorithm for solving group-lasso penalize learning problems
- A semiparametric factor model for CDO surfaces dynamics
- Asymmetric Least Squares Estimation and Testing
- Beyond mean regression
- Common functional principal components
- Expectiles and \(M\)-quantiles are quantiles
- Functional data analysis of generalized regression quantiles
- Functional data analysis.
- Generalized dynamic semi-parametric factor models for high-dimensional non-stationary time series
- Inference for functional data with applications
- Modeling and forecasting U.S. mortality. (With discussion)
- Nonparametric functional data analysis. Theory and practice.
- Optimal expectile smoothing
- Penalized expectile regression: an alternative to penalized quantile regression
- Principal component analysis in an asymmetric norm
- The benefit of group sparsity
- Time series modelling with semiparametric factor dynamics
- Weakly dependent functional data
Cited in
(6)- Modeling Functional Time Series and Mixed-Type Predictors With Partially Functional Autoregressions
- Multivariate factorizable expectile regression with application to fMRI data
- Estimation of spatio-temporal extreme distribution using a quantile factor model
- Statistical inference in the partial functional linear expectile regression model
- A spectral EM algorithm for dynamic factor models
- Editorial on the special issue on functional data analysis and related topics
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