The consistency and asymptotic normality of the kernel type expectile regression estimator for functional data

DOI10.1016/j.jmva.2020.104673zbMath1461.62239OpenAlexW3083787495MaRDI QIDQ2657187

Mustapha Mohammedi, Ali Laksaci, Salim Bouzebda

Publication date: 12 March 2021

Published in: Journal of Multivariate Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jmva.2020.104673

zbMATH Keywords

asymptotic normalityrisk measurenonparametric estimationfunctional dataexpectilesstrong mixing processasymmetric least squares regressionalmost consistencykernel type function estimatorprobability convergence

Mathematics Subject Classification ID

Nonparametric regression and quantile regression (62G08) Nonparametric hypothesis testing (62G10) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20) Asymptotic properties of nonparametric inference (62G20) Functional data analysis (62R10) Applications of statistics to actuarial sciences and financial mathematics (62P05)

Related Items (7)

Rates of the strong uniform consistency for the kernel-type regression function estimators with general kernels on manifolds ⋮ On the variable bandwidth kernel estimation of conditional \(U\)-statistics at optimal rates in sup-norm ⋮ Weak-convergence of empirical conditional processes and conditional \(U\)-processes involving functional mixing data ⋮ The functional \(k\mathrm{NN}\) estimator of the conditional expectile: uniform consistency in number of neighbors ⋮ Uniform limit theorems for a class of conditional \(Z\)-estimators when covariates are functions ⋮ Local linear estimate of the functional expectile regression ⋮ Nonparametric estimation of expectile regression in functional dependent data

Uses Software

• fda (R)

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Making and Evaluating Point Forecasts
• Asymmetric Least Squares Estimation and Testing
• An introduction to recent advances in high/infinite dimensional statistics
• Assessing value at risk with CARE, the conditional autoregressive expectile models
• Bootstrap confidence intervals in functional nonparametric regression under dependence
• Expectile asymptotics
• Asymptotic results for an \(L^1\)-norm kernel estimator of the conditional quantile for functional dependent data with application to climatology
• Inference for functional data with applications
• Multivariate extensions of expectiles risk measures
• Partial linear modelling with multi-functional covariates
• A generalized \(L^1\)-approach for a kernel estimator of conditional quantile with functional regressors: consistency and asymptotic normality
• Rate of uniform consistency for nonparametric estimates with functional variables
• Expectiles and \(M\)-quantiles are quantiles
• Recent advances in functional data analysis and high-dimensional statistics
• Conditional expectiles, time consistency and mixture convexity properties
• Relating quantiles and expectiles under weighted-symmetry
• Generalized quantiles as risk measures
• Functional data analysis: local linear estimation of the \(L_1\)-conditional quantiles
• Data-driven \(k\)NN estimation in nonparametric functional data analysis
• Editorial on the special issue on functional data analysis and related topics
• Functional data analysis.
• Nonparametric functional data analysis. Theory and practice.
• Nonparametric regression for functional data: automatic smoothing parameter selection
• Coherent Measures of Risk
• COHERENCE AND ELICITABILITY
• Bayesian bandwidth estimation for a functional nonparametric regression model with mixed types of regressors and unknown error density
• Nonparametric Quantile Regression Estimation for Functional Dependent Data
• A CENTRAL LIMIT THEOREM AND A STRONG MIXING CONDITION
• Some Limit Theorems for Random Functions. I
• Bootstrapping Quantile Regression Estimators
• Nonparametric weighted symmetry tests
• Asymptotic Results of a Nonparametric Conditional Quantile Estimator for Functional Time Series
• Robust nonparametric estimation for functional data
• Robust Tests for Heteroscedasticity Based on Regression Quantiles
• On the Estimation of Production Frontiers: Maximum Likelihood Estimation of the Parameters of a Discontinuous Density Function
• Regression Quantiles
• Asymmetric least squares regression estimation: A nonparametric approach^∗
• Nonparametric modelling for functional data: selected survey and tracks for future
• Estimation of Tail Risk Based on Extreme Expectiles
• Introduction to Functional Data Analysis
• On elicitable risk measures
• Expectile and quantile regression—David and Goliath?
• Extremiles: A New Perspective on Asymmetric Least Squares
• Theoretical Foundations of Functional Data Analysis, with an Introduction to Linear Operators
• Of Quantiles and Expectiles: Consistent Scoring Functions, Choquet Representations and Forecast Rankings
• NONPARAMETRIC REGRESSION ON FUNCTIONAL DATA: INFERENCE AND PRACTICAL ASPECTS
• Statistical Inference for Expectile‐based Risk Measures
• Automatic and location-adaptive estimation in functional single-index regression
• Uniform consistency rate of kNN regression estimation for functional time series data

This page was built for publication: The consistency and asymptotic normality of the kernel type expectile regression estimator for functional data