A confidence corridor for expectile functions
Esra Akdeniz Duran,
Mengmeng Guo and
Wolfgang Härdle
No 2011-004, SFB 649 Discussion Papers from Humboldt University Berlin, Collaborative Research Center 649: Economic Risk
Abstract:
Let (X1, Y1), ..., (Xn, Yn) be i.i.d. rvs and let v(x) be the unknown T-expectile regression curve of Y conditional on X. An expectile-smoother vn(x) is a localized, nonlinear estimator of v(x). The strong uniform consistency rate is established under general conditions. In many applications it is necessary to know the stochastic fluctuation of the process {vn(x)-v(x)}. Using strong approximations of the empirical process and extreme value theory, we consider the asymptotic maximal deviation sup0
Keywords: expectile regression; consistency rate; simultaneous confidence corridor; asymmetric least squares; kernel smoothing (search for similar items in EconPapers)
JEL-codes: C00 C14 J01 J31 (search for similar items in EconPapers)
Date: 2010
References: Add references at CitEc
Citations:
Downloads: (external link)
https://www.econstor.eu/bitstream/10419/56713/1/64276851X.pdf (application/pdf)
Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
HTML/Text
Persistent link: https://EconPapers.repec.org/RePEc:zbw:sfb649:sfb649dp2011-004
Access Statistics for this paper
More papers in SFB 649 Discussion Papers from Humboldt University Berlin, Collaborative Research Center 649: Economic Risk Contact information at EDIRC.
Bibliographic data for series maintained by ZBW - Leibniz Information Centre for Economics (econstor@zbw-workspace.eu).