Expectile asymptotics
From MaRDI portal
Publication:309591
DOI10.1214/16-EJS1173zbMath1397.62075arXiv1509.06866WikidataQ60430057 ScholiaQ60430057MaRDI QIDQ309591
Publication date: 7 September 2016
Published in: Electronic Journal of Statistics (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1509.06866
asymptotic normalityuniform central limit theoremM-estimatorconvergence to stable distributionsexpectiles
Infinitely divisible distributions; stable distributions (60E07) Asymptotic distribution theory in statistics (62E20) Central limit and other weak theorems (60F05)
Related Items (22)
Performance measurement with expectiles ⋮ A class of distortion measures generated from expectile and its estimation ⋮ The consistency and asymptotic normality of the kernel type expectile regression estimator for functional data ⋮ On automatic bias reduction for extreme expectile estimation ⋮ Extreme tail risk estimation with the generalized Pareto distribution under the peaks-over-threshold framework ⋮ Asymptotic distributions and performance of empirical skewness measures ⋮ Automatic selection by penalized asymmetric L q -norm in a high-dimensional model with grouped variables ⋮ Stochastic orders and measures of skewness and dispersion based on expectiles ⋮ Multivariate expectile-based distribution: properties, Bayesian inference, and applications ⋮ ExpectHill estimation, extreme risk and heavy tails ⋮ Statistical Inference for Expectile‐based Risk Measures ⋮ Weak convergence of quantile and expectile processes under general assumptions ⋮ Tail expectile process and risk assessment ⋮ Expectile depth: theory and computation for bivariate datasets ⋮ The \(k\)th power expectile regression ⋮ Extreme conditional expectile estimation in heavy-tailed heteroscedastic regression models ⋮ On the estimation of the variability in the distribution tail ⋮ The functional \(k\mathrm{NN}\) estimator of the conditional expectile: uniform consistency in number of neighbors ⋮ Extremiles: A New Perspective on Asymmetric Least Squares ⋮ Relative bound and asymptotic comparison of expectile with respect to expected shortfall ⋮ The MLE of Aigner, Amemiya, and Poirier is not the expectile MLE ⋮ Statistical inference in the partial functional linear expectile regression model
Cites Work
- Unnamed Item
- Making and Evaluating Point Forecasts
- Asymmetric Least Squares Estimation and Testing
- Isotonicity properties of generalized quantiles
- On confidence intervals for semiparametric expectile regression
- M-estimators converging to a stable limit
- Generalized quantiles as risk measures
- Introduction to empirical processes and semiparametric inference
- On the measurability and consistency of minimum contrast estimates
- COHERENCE AND ELICITABILITY
- M-quantiles
- Asymptotic Statistics
- Efficiency. of infinite dimensional M‐ estimators
- Statistical Inference for Expectile‐based Risk Measures
This page was built for publication: Expectile asymptotics
