Robust estimation and shrinkage in ultrahigh dimensional expectile regression with heavy tails and variance heterogeneity
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Publication:2122800
DOI10.1007/s00362-021-01227-2OpenAlexW3136562446MaRDI QIDQ2122800
Yi Zhang, Guan'ao Yan, Jun Zhao
Publication date: 7 April 2022
Published in: Statistical Papers (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1909.09302
Related Items (4)
Point forecasting and forecast evaluation with generalized Huber loss ⋮ An improved algorithm for high-dimensional continuous threshold expectile model with variance heterogeneity ⋮ Data-driven and distribution-free estimation of tailed-related risks for GARCH models using composite asymmetric least squares regression ⋮ Expectile trace regression via low-rank and group sparsity regularization
Uses Software
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