Aggregated Expectile Regression by Exponential Weighting

DOI10.5705/ss.202016.0285zbMath1422.62249OpenAlexW2746886145WikidataQ115479368 ScholiaQ115479368MaRDI QIDQ5226603

Hui Zou, Yuwen Gu

Publication date: 1 August 2019

Published in: Statistica Sinica (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.5705/ss.202016.0285

zbMATH Keywords

cross-validationoracle inequalityexpectile regressionmodel aggregation

Mathematics Subject Classification ID

Ridge regression; shrinkage estimators (Lasso) (62J07) Applications of statistics to actuarial sciences and financial mathematics (62P05)

Related Items (2)

Partially Linear Expectile Regression Using Local Polynomial Fitting ⋮ Retire: robust expectile regression in high dimensions

This page was built for publication: Aggregated Expectile Regression by Exponential Weighting