Two-step online estimation and inference for expected shortfall regression with streaming data

DOI10.1080/02331888.2024.2366952MaRDI QIDQ6618202

Lei Wang, Unnamed Author

Publication date: 14 October 2024

Published in: Statistics (Search for Journal in Brave)

Mathematics Subject Classification ID

Statistics (62-XX)

Cites Work

• Unnamed Item
• A joint quantile and expected shortfall regression framework
• Higher order elicitability and Osband's principle
• Online learning for quantile regression and support vector regression
• Smoothed empirical likelihood confidence intervals for quantile regression parameters with auxiliary information
• Statistical methods and computing for big data
• Dynamic semiparametric models for expected shortfall (and value-at-risk)
• Parallel-and-stream accelerator for computationally fast supervised learning
• Online updating method to correct for measurement error in big data streams
• Smoothed empirical likelihood inference and variable selection for quantile regression with nonignorable missing response
• Regression Quantiles
• Bootstrap Methods for Median Regression Models
• Renewable Estimation and Incremental Inference in Generalized Linear Models with Streaming Data Sets
• SMOOTHED EMPIRICAL LIKELIHOOD METHODS FOR QUANTILE REGRESSION MODELS
• Estimation of complier expected shortfall treatment effects with a binary instrumental variable
• Renewable learning for multiplicative regression with streaming datasets
• Two-stage online debiased Lasso estimation and inference for high-dimensional quantile regression with streaming data
• Robust estimation and inference for expected shortfall regression with many regressors
• Communication-efficient estimation and inference for high-dimensional quantile regression based on smoothed decorrelated score

This page was built for publication: Two-step online estimation and inference for expected shortfall regression with streaming data