Thekth power expectile regression

doi:10.1007/s10463-019-00738-y

CSpace > 应用数学研究所

	Thekth power expectile regression
	Jiang, Yingying 1,2; Lin, Fuming 1,3; Zhou, Yong4,5,6
	2019-12-12
发表期刊	ANNALS OF THE INSTITUTE OF STATISTICAL MATHEMATICS
ISSN	0020-3157
页码	31
摘要	Check functions of least absolute deviation make sure quantile regression methods are robust, while squared check functions make expectiles more sensitive to the tails of distributions and more effective for the normal case than quantiles. In order to balance robustness and effectiveness, we adopt a loss function, which falls in between the above two loss functions, to introduce a new kind of expectiles and develop an asymmetric leastkth power estimation method that we call thekth power expectile regression,klarger than 1 and not larger than 2. The asymptotic properties of the corresponding estimators are provided. Simulation results show that the asymptotic efficiency of thekth power expectile regression is higher than those of the common quantile regression and expectile regression in some data cases. A primary procedure of choosing satisfactorykis presented. We finally apply our method to the real data.
关键词	Asymptotic variance Thekth power expectile Expectiles Quantiles
DOI	10.1007/s10463-019-00738-y
收录类别	SCI
语种	英语
资助项目	talent introduction project of Sichuan University of Science Engineering[2019RC10] ; Scientific research cultivation project of Sichuan University of Science Engineering[2013PY07] ; Scientific Research Fund of Shanghai University of Finance and Economics[2017110080] ; Opening Project of Sichuan Province University Key Laboratory of Bridge Non-destruction Detecting and Engineering Computing[2018QZJ01] ; State Key Program of National Natural Science Foundation of China[71331006] ; State Key Program in the Major Research Plan of National Natural Science Foundation of China[91546202]
WOS研究方向	Mathematics
WOS类目	Statistics & Probability
WOS记录号	WOS:000541639200002
出版者	SPRINGER HEIDELBERG
引用统计
文献类型	期刊论文
条目标识符	http://ir.amss.ac.cn/handle/2S8OKBNM/51688
专题	应用数学研究所
通讯作者	Lin, Fuming
作者单位	1.Sichuan Univ Sci & Engn, Sch Math & Stat, Zigong 643000, Sichuan, Peoples R China 2.Southwestern Univ Finance & Econ, Sch Stat, Chengdu 611130, Sichuan, Peoples R China 3.Shanghai Univ Finance & Econ, Sch Stat & Management, Shanghai 200433, Peoples R China 4.East China Normal Univ, Acad Stat & Interdisciplinary Sci, Shanghai 200241, Peoples R China 5.East China Normal Univ, Sch Stat, Fac Econ & Management, Shanghai 200241, Peoples R China 6.Chinese Acad Sci, Acad Math & Syst Sci, Beijing 100190, Peoples R China
推荐引用方式 GB/T 7714	Jiang, Yingying,Lin, Fuming,Zhou, Yong. Thekth power expectile regression[J]. ANNALS OF THE INSTITUTE OF STATISTICAL MATHEMATICS,2019:31.
APA	Jiang, Yingying,Lin, Fuming,&Zhou, Yong.(2019).Thekth power expectile regression.ANNALS OF THE INSTITUTE OF STATISTICAL MATHEMATICS,31.
MLA	Jiang, Yingying,et al."Thekth power expectile regression".ANNALS OF THE INSTITUTE OF STATISTICAL MATHEMATICS (2019):31.