Model selection in semiparametric expectile regression

DOI10.1214/17-EJS1307zbMath1380.62180OpenAlexW2745029144MaRDI QIDQ2408228

Fabian Sobotka, Elmar Spiegel, Thomas Kneib

Publication date: 12 October 2017

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

Full work available at URL: https://projecteuclid.org/euclid.ejs/1502416822

zbMATH Keywords

model selectionsemiparametric regressionboostingexpectilesleast asymmetrically weighted squaresnon-negative garrotte

Mathematics Subject Classification ID

Nonparametric regression and quantile regression (62G08) Ridge regression; shrinkage estimators (Lasso) (62J07) Applications of statistics to biology and medical sciences; meta analysis (62P10) General nonlinear regression (62J02)

Related Items (8)

High-dimensional expectile regression incorporating graphical structure among predictors ⋮ Variable selection in high-dimensional linear model with possibly asymmetric errors ⋮ Shrinkage estimation of fixed and random effects in linear quantile mixed models ⋮ Partially Linear Expectile Regression Using Local Polynomial Fitting ⋮ Expectile trace regression via low-rank and group sparsity regularization ⋮ Efficient estimation in expectile regression using envelope models ⋮ Optimal model averaging estimator for expectile regressions ⋮ An elastic-net penalized expectile regression with applications

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