Expectile asymptotics

DOI10.1214/16-EJS1173zbMATH Open1397.62075arXiv1509.06866WikidataQ60430057 ScholiaQ60430057MaRDI QIDQ309591FDOQ309591

Hajo Holzmann, Bernhard Klar

Publication date: 7 September 2016

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

Abstract: We discuss in detail the asymptotic distribution of sample expectiles. First, we show uniform consistency under the assumption of a finite mean. In case of a finite second moment, we show that for expectiles other then the mean, only the additional assumption of continuity of the distribution function at the expectile implies asymptotic normality, otherwise, the limit is non-normal. For a continuous distribution function we show the uniform central limit theorem for the expectile process. If, in contrast, the distribution is heavy-tailed, and contained in the domain of attraction of a stable law with $1<alpha<2$, then we show that the expectile is also asymptotically stable distributed. Our findings are illustrated in a simulation section.

Full work available at URL: https://arxiv.org/abs/1509.06866

Recommendations

• Exponential asymptotics
• Asymptotic expansions for probability distributions
• Asymptotic behavior of expected record values
• scientific article; zbMATH DE number 6161763
• Asymptotics and extrapolation
• scientific article; zbMATH DE number 877618
• Asymptotic estimates using probability
• Asymptotics of predictive distributions
• scientific article
• Asymptotic Statistics

zbMATH Keywords

asymptotic normalityexpectilesuniform central limit theoremM-estimatorconvergence to stable distributions

Mathematics Subject Classification ID

Infinitely divisible distributions; stable distributions (60E07) Asymptotic distribution theory in statistics (62E20) Central limit and other weak theorems (60F05)

Cites Work

• Introduction to empirical processes and semiparametric inference
• Asymptotic Statistics
• Making and Evaluating Point Forecasts
• Asymmetric Least Squares Estimation and Testing
• Title not available (Why is that?)
• Efficiency. of infinite dimensional M‐ estimators
• Generalized quantiles as risk measures
• Coherence and elicitability
• M-quantiles
• Statistical Inference for Expectile‐based Risk Measures
• M-estimators converging to a stable limit
• On the measurability and consistency of minimum contrast estimates
• Isotonicity properties of generalized quantiles
• On confidence intervals for semiparametric expectile regression

Cited In (27)

• Relative bound and asymptotic comparison of expectile with respect to expected shortfall
• Expectile depth: theory and computation for bivariate datasets
• Statistical inference in the partial functional linear expectile regression model
• Stochastic orders and measures of skewness and dispersion based on expectiles
• Multivariate expectile-based distribution: properties, Bayesian inference, and applications
• The MLE of Aigner, Amemiya, and Poirier is not the expectile MLE
• Bias-reduced and variance-corrected asymptotic Gaussian inference about extreme expectiles
• Extreme conditional expectile estimation in heavy-tailed heteroscedastic regression models
• Weak convergence of quantile and expectile processes under general assumptions
• Tail expectile process and risk assessment
• Asymptotic distributions and performance of empirical skewness measures
• ExpectHill estimation, extreme risk and heavy tails
• The local linear functional \(k\)NN estimator of the conditional expectile: uniform consistency in number of neighbors
• The \(k\)th power expectile regression
• Automatic selection by penalized asymmetric L _q -norm in a high-dimensional model with grouped variables
• Extremiles: A New Perspective on Asymmetric Least Squares
• On automatic bias reduction for extreme expectile estimation
• The functional \(k\mathrm{NN}\) estimator of the conditional expectile: uniform consistency in number of neighbors
• On the estimation of the variability in the distribution tail
• Estimation of the adjusted standard-deviatile for extreme risks
• Statistical Inference for Expectile‐based Risk Measures
• Extreme tail risk estimation with the generalized Pareto distribution under the peaks-over-threshold framework
• Performance measurement with expectiles
• Testing Granger non-causality in expectiles
• An expectile computation cookbook
• The consistency and asymptotic normality of the kernel type expectile regression estimator for functional data
• A class of distortion measures generated from expectile and its estimation

This page was built for publication: Expectile asymptotics

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q309591)