Expectile and quantile regression—David and Goliath?
From MaRDI portal
Publication:4971425
DOI10.1177/1471082X14561155MaRDI QIDQ4971425
Thomas Kneib, Fabian Sobotka, Linda Schulze Waltrup, Göran Kauermann
Publication date: 12 October 2020
Published in: Statistical Modelling (Search for Journal in Brave)
Related Items
Robust estimation and shrinkage in ultrahigh dimensional expectile regression with heavy tails and variance heterogeneity, Expectiles, omega ratios and stochastic ordering, Distributed optimization and statistical learning for large-scale penalized expectile regression, Expectile regression for analyzing heteroscedasticity in high dimension, A continuous threshold expectile model, An SVM-like approach for expectile regression, Variable selection in expectile regression, 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, An improved algorithm for high-dimensional continuous threshold expectile model with variance heterogeneity, Data-driven and distribution-free estimation of tailed-related risks for GARCH models using composite asymmetric least squares regression, Asymmetric influence measure for high dimensional regression, Automatic selection by penalized asymmetric L q -norm in a high-dimensional model with grouped variables, Generalized expectile regression with flexible response function, Weighted expectile regression with covariates missing at random, Non-crossing convex quantile regression, Dimension reduction techniques for conditional expectiles, Partially Linear Expectile Regression Using Local Polynomial Fitting, Generalized quantile and expectile properties for shape constrained nonparametric estimation, Parametric expectile regression and its application for premium calculation, Bayesian regularisation in geoadditive expectile regression, Extreme M-quantiles as risk measures: from \(L^{1}\) to \(L^{p}\) optimization, A discrete density approach to Bayesian quantile and expectile regression with discrete responses, Smooth expectiles for panel data using penalized splines, Shadow prices and marginal abatement costs: convex quantile regression approach, Local polynomial expectile regression, Spatio-temporal expectile regression models, TERES: Tail Event Risk Expectile Shortfall, The relationship between longevity and lifespan variation, Quantile and expectile smoothing based on \(L_1\)-norm and \(L_2\)-norm fuzzy transforms, On the nonparametric estimation of the functional expectile regression, An elastic-net penalized expectile regression with applications, The MLE of Aigner, Amemiya, and Poirier is not the expectile MLE, Modelling Flow in Gas Transmission Networks Using Shape-Constrained Expectile Regression, Nonparametric estimation of expectile regression in functional dependent data
Uses Software
Cites Work
- Unnamed Item
- Unnamed Item
- Asymmetric Least Squares Estimation and Testing
- Assessing value at risk with CARE, the conditional autoregressive expectile models
- Geoadditive expectile regression
- Asymptotically efficient estimation of the conditional expected shortfall
- Stepwise multiple quantile regression estimation using non-crossing constraints
- P-splines quantile regression estimation in varying coefficient models
- A note on L-estimates for linear models
- On confidence intervals for semiparametric expectile regression
- Estimation of additive quantile regression
- On monotonicity of regression quantile functions
- GACV for quantile smoothing splines
- Optimal expectile smoothing
- Estimating densities, quantiles, quantile densities and density quantiles
- Expectiles and \(M\)-quantiles are quantiles
- Quantile regression in varying coefficient models.
- Simultaneous confidence bands for expectile functions
- Simultaneous estimation of quantile curves using quantile sheets
- Variable selection of varying coefficient models in quantile regression
- Semiparametric regression during 2003--2007
- Quantiles, expectiles and splines
- COHERENCE AND ELICITABILITY
- Noncrossing quantile regression curve estimation
- Quantile and Probability Curves Without Crossing
- NonparametricM-quantile regression using penalised splines
- M-quantiles
- On the Estimation of Production Frontiers: Maximum Likelihood Estimation of the Parameters of a Discontinuous Density Function
- Regression Quantiles
- Quantile smoothing splines
- Asymmetric least squares regression estimation: A nonparametric approach∗
- Semiparametric Regression
- Quantile regression with monotonicity restrictions using P-splines and the L1-norm
- Beyond mean regression
- Discussion: The beauty of expectiles
- Discussion: Living beyond our means
- Estimation of the retransformed conditional mean in health care cost studies
