Retire: robust expectile regression in high dimensions (Q6150528)

scientific article; zbMATH DE number 7814015

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English	Retire: robust expectile regression in high dimensions	scientific article; zbMATH DE number 7814015

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instance of

scholarly article

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title

Retire: robust expectile regression in high dimensions (English)

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Journal of Econometrics

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publication date

6 March 2024

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full work available at URL

https://arxiv.org/abs/2212.05562

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zbMATH Keywords

expectile regression

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heavy-tailed error

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quantile regression

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robustness

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concave regularization

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MaRDI profile type

MaRDI publication profile

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cites work

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\(\ell_1\)-penalized quantile regression in high-dimensional sparse models

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Variable Selection via Nonconcave Penalized Likelihood and its Oracle Properties

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Estimation of High Dimensional Mean Regression in the Absence of Symmetry and Light Tail Assumptions

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Strong oracle optimality of folded concave penalized estimation

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High-dimensional generalizations of asymmetric least squares regression and their applications

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Aggregated Expectile Regression by Exponential Weighting

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Robust Estimation of a Location Parameter

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Confidence Intervals and Hypothesis Testing for High-Dimensional Regression

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Expectiles and \(M\)-quantiles are quantiles

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Q3413299

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Additive models for quantile regression: model selection and confidence bands

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Regression Quantiles

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Regularized M-estimators with nonconvexity: Statistical and algorithmic theory for local optima

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Iteratively reweighted \(\ell_1\)-penalized robust regression

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The Gaussian hare and the Laplacian tortoise: computability of squared-error versus absolute-error estimators. With comments by Ronald A. Thisted and M. R. Osborne and a rejoinder by the authors

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Q4864293

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Quantile Regression for Analyzing Heterogeneity in Ultra-High Dimension

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Q2896066

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A general theory of concave regularization for high-dimensional sparse estimation problems

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Identifiers

arXiv ID

2212.05562

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DOI

10.1016/j.jeconom.2023.04.004

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Mathematics Subject Classification ID

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Sitelinks

Mathematics(1 entry)

mardi Publication:6150528