Variable selection in expectile regression

Jun Zhao and Yi Zhang

Communications in Statistics - Theory and Methods, 2018, vol. 47, issue 7, 1731-1746

Abstract: In this paper, we consider penalized linear expectile regression using SCAD penalty function. We prove that our estimator has not only n$\sqrt{n}$ consistency but also oracle properties. In order to perform a better statistical inference, we make a correction of our estimator. The performance of our proposed methods are investigated through simulation studies.

Date: 2018
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DOI: 10.1080/03610926.2017.1324989

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