Nonparametric conditional autoregressive expectile model via neural network with applications to estimating financial risk
DOI10.1002/ASMB.2212zbMATH Open1420.91531OpenAlexW2553263266MaRDI QIDQ4620176FDOQ4620176
Xi Liu, Keming Yu, Cuixia Jiang, Qifa Xu
Publication date: 8 February 2019
Published in: Applied Stochastic Models in Business and Industry (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1002/asmb.2212
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Nonparametric regression and quantile regression (62G08) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Learning and adaptive systems in artificial intelligence (68T05) Statistical methods; risk measures (91G70)
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- Machine learning techniques in nested stochastic simulations for life insurance
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- Learning rates for kernel-based expectile regression
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