Quantiles, expectiles and splines

DOI10.1016/j.jeconom.2009.01.001zbMath1431.62153OpenAlexW2082545012MaRDI QIDQ2630078

Yanyan Li

Publication date: 25 July 2016

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jeconom.2009.01.001

zbMATH Keywords

quantile regressioncubic splinessignal extractionasymmetric least squaresstate space smoother

Mathematics Subject Classification ID

Nonparametric regression and quantile regression (62G08) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Nonparametric estimation (62G05)

Related Items (23)

Asymmetric least squares support vector machine classifiers ⋮ Robust estimation and shrinkage in ultrahigh dimensional expectile regression with heavy tails and variance heterogeneity ⋮ Bayesian tail risk interdependence using quantile regression ⋮ Artifactual unit root behavior of value at risk (VaR) ⋮ Scenario aggregation method for portfolio expectile optimization ⋮ A continuous threshold expectile model ⋮ A class of distortion measures generated from expectile and its estimation ⋮ Multivariate factorizable expectile regression with application to fMRI data ⋮ Asymmetric influence measure for high dimensional regression ⋮ ASYMPTOTIC EXPANSIONS OF GENERALIZED QUANTILES AND EXPECTILES FOR EXTREME RISKS ⋮ Generalized quantile and expectile properties for shape constrained nonparametric estimation ⋮ Bayesian regularisation in geoadditive expectile regression ⋮ Generalizing Koenker's distribution ⋮ Smooth expectiles for panel data using penalized splines ⋮ Generalized quantiles as risk measures ⋮ Local polynomial expectile regression ⋮ Bayesian regularized quantile structural equation models ⋮ Skew exponential power stochastic volatility model for analysis of skewness, non-normal tails, quantiles and expectiles ⋮ On possibilistic representations of fuzzy intervals ⋮ Expectile and quantile regression—David and Goliath? ⋮ Bayesian expectile regression with asymmetric normal distribution ⋮ Quantile and expectile smoothing based on \(L_1\)-norm and \(L_2\)-norm fuzzy transforms ⋮ Performance ratio-based coherent risk measure and its application

Uses Software

• CAViaR
• SsfPack

Cites Work

• Asymmetric Least Squares Estimation and Testing
• A convergent algorithm for quantile regression with smoothing splines
• Some results on Tchebycheffian spline functions and stochastic processes
• Nonparametric spline regression with autoregressive moving average errors
• Signal extraction and the formulation of unobserved components models
• SPLINE FUNCTIONS AND THE PROBLEM OF GRADUATION
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item

This page was built for publication: Quantiles, expectiles and splines