Efficient estimation in expectile regression using envelope models

DOI10.1214/19-EJS1664zbMath1436.62133OpenAlexW2998961846MaRDI QIDQ2286363

Yi Yang, Zhihua Su, Tuo Chen, Shanshan Ding

Publication date: 22 January 2020

Published in: Electronic Journal of Statistics (Search for Journal in Brave)

Full work available at URL: https://projecteuclid.org/euclid.ejs/1578366076

zbMATH Keywords

generalized method of momentssufficient dimension reductionenvelope modelexpectile regression

Mathematics Subject Classification ID

Nonparametric regression and quantile regression (62G08) General nonlinear regression (62J02)

Related Items (4)

A Bayesian Approach to Envelope Quantile Regression ⋮ Shrinkage estimation of fixed and random effects in linear quantile mixed models ⋮ A Review of Envelope Models ⋮ Partially Linear Expectile Regression Using Local Polynomial Fitting

Uses Software

• LASSO
• lattice
• Expectreg
• erboost
• SALES

Cites Work

• Large Sample Properties of Generalized Method of Moments Estimators
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