Factorisable sparse tail event curves with expectiles

Wolfgang Härdle, Chen Huang and Shih-Kang Chao

No 2016-018, SFB 649 Discussion Papers from Humboldt University Berlin, Collaborative Research Center 649: Economic Risk

Keywords: multivariate functional data; high-dimensional M-estimators; nuclear norm regularizer; factor analysis; expectile regression; fMRI; risk perception (search for similar items in EconPapers)
JEL-codes: C38 C55 C61 C91 D87 (search for similar items in EconPapers)
Date: 2016
Note: Oberwolfach Report: New Developments in Functional and Highly Multivariate Statistical Methodology
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