Web27 Apr 2024 · The kth ( 1 WebThe kth power expectile estimators are a special type of M-estimators. In this sense, the kthpower expectile regression theory enriches the literature on M-estimators. The paper has four main contributions. The unified framework makes it possible that we can find an optimal k in[1, 2] using cross validation or the aforementioned method.
The kth Power Expectile Estimation and Testing
Web30 Aug 1996 · The kth Power Expectile Estimation and Testing F. Lin, Yingying Jiang, Yong Zhou Mathematics Communications in Mathematics and Statistics 2024 This paper … Web8 Jul 2024 · Specifically, an expectile of a distribution is a value that would be the mean if values above it were more likely to occur than they are. Expectiles summarize distributions in a manner comparable to quantiles, but quantiles are expectiles in location models. The reverse is true in special cases. heathmont college laptop
Interpreting Expectiles by Collin Philipps :: SSRN
Web23 Sep 2015 · We show weak convergence of quantile and expectile processes to Gaussian limit processes in the space of bounded functions endowed with an appropriate … WebOn the nonparametric estimation of the functional expectile regression [Sur l’estimation non-paramétrique dans un modèle de régression expectile fonctionnelle] Mustapha Mohammedi 1 ; Salim Bouzebda 2 ; Ali Laksaci 3 Comptes Rendus. Mathématique, Tome 358 (2024) no. 3, pp. 267-272. Résumé Abstract Simulation results show that the asymptotic efficiency of the k th power expectile regression is higher than those of the common quantile regression and expectile regression in some data cases. A primary procedure of choosing satisfactory k is presented. We finally apply our method to the real data. See more For each sample size n, z_{i}=(y_{i},x'_{i})' (i=1,\ldots , n) are i.i.d. copies of Z and Z has a probability density function f(y x)g(x) with respect to a measure \mu _{z}=l\times \mu _{x} … See more Assume that the data come from (2). Write We have, with \varepsilon being homoscedastic, where e_{j} denotes the jth unit vector and \eta (\tau ) is the kth power expectile of … See more Assumption 1 is similar to Assumption 1 in Newey and Powell (1987), and we do not consider \gamma varying in a small neighborhood of … See more We suppose that the f(y x) is bounded. In fact, the first inequality in (5) holds, provided Y is not equal to \infty almost surely. The last … See more heath monster high