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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
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