Found 121 Documents (Results 1–100)
Composite expectile estimation in partial functional linear regression model. (English) Zbl 07904784
Poisson subsampling-based estimation for growing-dimensional expectile regression in massive data. (English) Zbl 1542.62021
Testing Granger non-causality in expectiles. (English) Zbl 07854456
MSC:
62P20
Asymptotic normality of the local linear estimator of the functional expectile regression. (English) Zbl 07846363
Expectile hidden Markov regression models for analyzing cryptocurrency returns. (English) Zbl 1536.62007
Predictive and sensitive analysis of a bivariate skewed spatial process based on the Bayesian framework. (English) Zbl 07858691
MSC:
62-XX
Alternative fixed-effects panel model using weighted asymmetric least squares regression. (English) Zbl 07770406
MSC:
62-XX
Deep reinforcement learning for option pricing and hedging under dynamic expectile risk measures. (English) Zbl 1530.91572
Automatic selection by penalized asymmetric \(L_q\)-norm in a high-dimensional model with grouped variables. (English) Zbl 07757624
MSC:
62-XX
Functional additive expectile regression in the reproducing kernel Hilbert space. (English) Zbl 07740032
Iteratively reweighted least square for kernel expectile regression with random features. (English) Zbl 07739791
Parametric expectile regression and its application for premium calculation. (English) Zbl 1520.91326
Generalized quantile and expectile properties for shape constrained nonparametric estimation. (English) Zbl 07709858
MSC:
90Bxx
Projection expectile regression for sufficient dimension reduction. (English) Zbl 07708620
MSC:
62-08
Stochastic orders and measures of skewness and dispersion based on expectiles. (English) Zbl 1524.62066
High-dimensional expectile regression incorporating graphical structure among predictors. (English) Zbl 07677414
MSC:
62-XX
Prediction of extremal expectile based on regression models with heteroscedastic extremes. (English) Zbl 07928198
MSC:
62P20
Expectile-based measures of skewness. (English) Zbl 07638433
MSC:
62-XX
Statistical inference in the partial functional linear expectile regression model. (English) Zbl 1503.62045
Shrinkage estimation of fixed and random effects in linear quantile mixed models. (English) Zbl 07611122
MSC:
62-XX
A new GEE method to account for heteroscedasticity using asymmetric least-square regressions. (English) Zbl 07611116
MSC:
62-XX
Improved \(k\)th power expectile regression with nonignorable dropouts. (English) Zbl 07584967
MSC:
62-XX
Reproducing kernel-based functional linear expectile regression. (English. French summary) Zbl 1492.62080
Multiple change-points estimation in linear regression models via an adaptive Lasso expectile loss function. (English) Zbl 07557992
An improved algorithm for high-dimensional continuous threshold expectile model with variance heterogeneity. (English) Zbl 07546447
MSC:
62-XX
Performance measurement with expectiles. (English) Zbl 1492.91436
MSC:
91G70
Robust estimation and shrinkage in ultrahigh dimensional expectile regression with heavy tails and variance heterogeneity. (English) Zbl 07504782
MSC:
62-XX
Local polynomial expectile regression. (English) Zbl 07502574
MSC:
62-XX
Uniform limit theorems for a class of conditional \(Z\)-estimators when covariates are functions. (English) Zbl 1520.62014
Nonparametric estimation of expectile regression in functional dependent data. (English) Zbl 07476221
Reviewer: Gilles Stupfler (Angers)
The functional \(k\mathrm{NN}\) estimator of the conditional expectile: uniform consistency in number of neighbors. (English) Zbl 1493.62151
Expectile regression via deep residual networks. (English) Zbl 07851257
MSC:
62-XX
Variable selection and debiased estimation for single-index expectile model. (English) Zbl 1521.62052
Distributed optimization and statistical learning for large-scale penalized expectile regression. (English) Zbl 1485.62048
Semiparametric varying-coefficient expectile model for estimating value at risk on dependent samples. (Chinese. English summary) Zbl 1499.62394
An elastic-net penalized expectile regression with applications. (English) Zbl 1521.62526
MSC:
62-XX
Dual representation of expectile-based expected shortfall and its properties. (English) Zbl 1473.62354
A discrete density approach to Bayesian quantile and expectile regression with discrete responses. (English) Zbl 1477.62095
Estimation of high conditional tail risk based on expectile regression. (English) Zbl 1479.91328
Reviewer: Pavel Stoynov (Sofia)
On expectile-assisted inverse regression estimation for sufficient dimension reduction. (English) Zbl 1465.62102
Variable selection in high-dimensional linear model with possibly asymmetric errors. (English) Zbl 1510.62293
Cryptocurrency risk measurement based on MIDAS-Expectile regression model. (Chinese. English summary) Zbl 1488.91166
Jackknife model averaging for expectile regressions in increasing dimension. (English) Zbl 1459.62061
Risk measures derived from a regulator’s perspective on the regulatory capital requirements for insurers. (English) Zbl 1454.91169
Spatio-temporal expectile regression models. (English) Zbl 07259254
MSC:
62-XX
Relative bound and asymptotic comparison of expectile with respect to expected shortfall. (English) Zbl 1448.62064
On the nonparametric estimation of the functional expectile regression. (Sur l’estimation non-paramétrique dans un modèle de régression expectile fonctionnelle.) (English. French summary) Zbl 1444.62047
Pseudo-quantile functional data clustering. (English) Zbl 1442.62139
Reviewer: Rózsa Horváth-Bokor (Budakalász)
Efficient estimation in expectile regression using envelope models. (English) Zbl 1436.62133
Reviewer: Frank Werner (Würzburg)
Tail expectile process and risk assessment. (English) Zbl 1441.62263
Reviewer: Pavel Stoynov (Sofia)
Weak convergence of quantile and expectile processes under general assumptions. (English) Zbl 1443.62113
A class of distortion measures generated from expectile and its estimation. (English) Zbl 07530029
MSC:
62-XX
Properties of fuzzy transform obtained from \(L_p\) minimization and a connection with Zadeh’s extension principle. (English) Zbl 1455.44005
Reviewer: Salvatore Sessa (Napoli)
The second-order asymptotic properties of asymmetric least squares estimation. (English) Zbl 1437.62260
Nonparametric inference for VaR, CTE, and expectile with high-order precision. (English) Zbl 1426.91311
Quantile and expectile smoothing based on \(L_1\)-norm and \(L_2\)-norm fuzzy transforms. (English) Zbl 1447.44003
Reviewer: Vladik Ya. Kreinovich (El Paso)
Econometric modeling of risk measures: a selective review of the recent literature. (English) Zbl 1438.62159
Principal component analysis in an asymmetric norm. (English) Zbl 1418.62249
J. Multivariate Anal. 171, 1-21 (2019); corrigendum ibid. 177, Article ID 104564, 1 p. (2020).
Reviewer: Denis Sidorov (Irkutsk)
Penalized expectile regression: an alternative to penalized quantile regression. (English) Zbl 1417.62082
Flexible expectile regression in reproducing kernel Hilbert spaces. (English) Zbl 07929959
MSC:
62Pxx
Multivariate factorizable expectile regression with application to fMRI data. (English) Zbl 1469.62034
Risk measures based on behavioural economics theory. (English) Zbl 1397.91606
Reviewer: Pavel Stoynov (Sofia)
Confidence corridors for multivariate generalized quantile regression. (English) Zbl 07924096
MSC:
62P20
An SVM-like approach for expectile regression. (English) Zbl 1466.62064
MSC:
62-08
A continuous threshold expectile model. (English) Zbl 1466.62225
MSC:
62-08
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