Dynamic semi-parametric factor model for functional expectiles
DOI10.1007/S00180-019-00883-1zbMATH Open1417.62163OpenAlexW2781280067WikidataQ128097850 ScholiaQ128097850MaRDI QIDQ2418052FDOQ2418052
Authors: Petra Burdejová, Wolfgang K. Härdle 
Publication date: 3 June 2019
Published in: Computational Statistics (Search for Journal in Brave)
Full work available at URL: http://sfb649.wiwi.hu-berlin.de/papers/pdf/SFB649DP2017-027.pdf
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Computational methods for problems pertaining to statistics (62-08) Factor analysis and principal components; correspondence analysis (62H25) Linear regression; mixed models (62J05)
Cites Work
- Modeling and forecasting U.S. mortality. (With discussion)
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- Nonparametric functional data analysis. Theory and practice.
- Inference for functional data with applications
- A fast unified algorithm for solving group-lasso penalize learning problems
- Asymmetric Least Squares Estimation and Testing
- Weakly dependent functional data
- Expectiles and \(M\)-quantiles are quantiles
- M-quantiles
- Optimal expectile smoothing
- Time series modelling with semiparametric factor dynamics
- The benefit of group sparsity
- Common functional principal components
- A semiparametric factor model for CDO surfaces dynamics
- Generalized dynamic semi‐parametric factor models for high‐dimensional non‐stationary time series
- Beyond mean regression
- Functional data analysis of generalized regression quantiles
- Penalized expectile regression: an alternative to penalized quantile regression
- Principal component analysis in an asymmetric norm
Cited In (5)
- Statistical inference in the partial functional linear expectile regression model
- Editorial on the special issue on functional data analysis and related topics
- A spectral EM algorithm for dynamic factor models
- Estimation of spatio-temporal extreme distribution using a quantile factor model
- Modeling Functional Time Series and Mixed-Type Predictors With Partially Functional Autoregressions
Uses Software
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