Learning rates for kernel-based expectile regression
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Abstract: Conditional expectiles are becoming an increasingly important tool in finance as well as in other areas of applications. We analyse a support vector machine type approach for estimating conditional expectiles and establish learning rates that are minimax optimal modulo a logarithmic factor if Gaussian RBF kernels are used and the desired expectile is smooth in a Besov sense. As a special case, our learning rates improve the best known rates for kernel-based least squares regression in this scenario. Key ingredients of our statistical analysis are a general calibration inequality for the asymmetric least squares loss, a corresponding variance bound as well as an improved entropy number bound for Gaussian RBF kernels.
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- Relating quantiles and expectiles under weighted-symmetry
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- Training SVMs without offset
Cited in
(16)- Local linear estimate of the functional expectile regression
- The local linear functional \(k\)NN estimator of the conditional expectile: uniform consistency in number of neighbors
- Learning rates for the risk of kernel-based quantile regression estimators in additive models
- Connection between higher order measures of risk and stochastic dominance
- Sobolev norm learning rates for regularized least-squares algorithms
- Optimal learning with Gaussians and correntropy loss
- Kernel estimation under linear-exponential loss
- Optimal learning rates for kernel partial least squares
- Adaptive learning rates for support vector machines working on data with low intrinsic dimension
- The functional \(k\mathrm{NN}\) estimator of the conditional expectile: uniform consistency in number of neighbors
- Nonparametric estimation of expectile regression in functional dependent data
- An SVM-like approach for expectile regression
- KLERC: kernel Lagrangian expectile regression calculator
- Analysis of regularized least-squares in reproducing kernel Kreĭn spaces
- Learning rates for the kernel regularized regression with a differentiable strongly convex loss
- A closer look at covering number bounds for Gaussian kernels
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