On confidence intervals for semiparametric expectile regression

DOI10.1007/S11222-011-9297-1zbMATH Open1322.62136OpenAlexW2082905322MaRDI QIDQ746256FDOQ746256

Authors: Fabian Sobotka, Göran Kauermann, Linda Schulze Waltrup, Thomas Kneib 

Publication date: 16 October 2015

Published in: Statistics and Computing (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11222-011-9297-1

Recommendations

• Model selection in semiparametric expectile regression
• Geoadditive expectile regression
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• An SVM-like approach for expectile regression
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zbMATH Keywords

P-splinesconfidence intervalsexpectilessemiparametric regressionleast asymmetrically weighted squares

Mathematics Subject Classification ID

Nonparametric regression and quantile regression (62G08) Applications of statistics to biology and medical sciences; meta analysis (62P10) Nonparametric tolerance and confidence regions (62G15)

Cites Work

• Gaussian Markov Random Fields
• Title not available (Why is that?)
• Flexible smoothing with \(B\)-splines and penalties. With comments and a rejoinder by the authors
• Regression Quantiles
• High-dimensional graphs and variable selection with the Lasso
• Quantile regression.
• Estimation in generalized linear models with random effects
• Title not available (Why is that?)
• Asymmetric Least Squares Estimation and Testing
• Title not available (Why is that?)
• Generalized Additive Models for Location, Scale and Shape
• Expectiles and \(M\)-quantiles are quantiles
• Identifying Risk Factors for Severe Childhood Malnutrition by Boosting Additive Quantile Regression
• M-quantiles
• Geoadditive expectile regression
• Optimal expectile smoothing
• Geoadditive Models

Cited In (26)

• A new estimation method for continuous threshold expectile model
• Coverage probabilities of confidence intervals for the slope parameter of linear regression model when the error term is not normally distributed
• Dimension reduction techniques for conditional expectiles
• An SVM-like approach for expectile regression
• Weighted expectile regression with covariates missing at random
• Partially Linear Expectile Regression Using Local Polynomial Fitting
• A continuous threshold expectile model
• Composite expectile estimation in partial functional linear regression model
• Expectile asymptotics
• Bayesian expectile regression with asymmetric normal distribution
• Asymmetric influence measure for high dimensional regression
• An elastic-net penalized expectile regression with applications
• Efficient estimation in expectile regression using envelope models
• Shrinkage estimation of fixed and random effects in linear quantile mixed models
• Functional additive expectile regression in the reproducing kernel Hilbert space
• Expectile and quantile regression—David and Goliath?
• Beyond mean regression
• Modelling Flow in Gas Transmission Networks Using Shape-Constrained Expectile Regression
• Geoadditive expectile regression
• Spatio-temporal expectile regression models
• Bayesian regularisation in geoadditive expectile regression
• Penalized expectile regression: an alternative to penalized quantile regression
• Smooth expectiles for panel data using penalized splines
• Binary quantile regression and variable selection: A new approach
• Testing Granger non-causality in expectiles
• Estimation and inference for multikink expectile regression with longitudinal data

Uses Software

• R
• GAMLSS
• Expectreg
• bootstrap

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