Optimal model averaging estimator for expectile regressions

DOI10.1016/j.jspi.2021.08.003zbMath1480.62142OpenAlexW3196471003MaRDI QIDQ2059443

Yang Bai, Mengli Zhang, Rongjie Jiang

Publication date: 14 December 2021

Published in: Journal of Statistical Planning and Inference (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jspi.2021.08.003

zbMATH Keywords

cross-validationasymptotically optimalexpectile lossexpectile regressions

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Nonparametric regression and quantile regression (62G08) Linear regression; mixed models (62J05)

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