On confidence intervals for semiparametric expectile regression

DOI10.1007/S11222-011-9297-1MaRDI QIDQ746256zbMATHOpenAlexFDO

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

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)

Recommendations

• Model selection in semiparametric expectile regression
• Geoadditive expectile regression
• Simultaneous confidence bands for expectile functions
• An SVM-like approach for expectile regression
• Nonparametric regression expectiles^∗

Cites work

• scientific article; zbMATH DE number 708500 (Why is no real title available?)
• scientific article; zbMATH DE number 775727 (Why is no real title available?)
• scientific article; zbMATH DE number 2222295 (Why is no real title available?)
• M-quantiles
• Asymmetric Least Squares Estimation and Testing
• Estimation in generalized linear models with random effects
• Expectiles and \(M\)-quantiles are quantiles
• Flexible smoothing with \(B\)-splines and penalties. With comments and a rejoinder by the authors
• Gaussian Markov Random Fields
• Generalized Additive Models for Location, Scale and Shape
• Geoadditive Models
• Geoadditive expectile regression
• High-dimensional graphs and variable selection with the Lasso
• Identifying Risk Factors for Severe Childhood Malnutrition by Boosting Additive Quantile Regression
• Optimal expectile smoothing
• Quantile regression.
• Regression Quantiles

Cited in

(28)

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

Describes a project that uses

Uses Software

• R
• GAMLSS
• Expectreg
• bootstrap

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