An SVM-like approach for expectile regression
Muhammad Farooq and
Ingo Steinwart
Computational Statistics & Data Analysis, 2017, vol. 109, issue C, 159-181
Abstract:
Expectile regression is an interesting tool for investigating conditional distributions beyond the conditional mean. It is well-known that expectiles can be described with the help of the asymmetric least square loss function, and this link makes it possible to estimate expectiles in a non-parametric framework with a support vector machine like approach. For the underlying optimization problem, an efficient sequential-minimal-optimization-based solver is developed and its convergence derived. The behavior of the solver is investigated by conducting various experiments, and the results are compared with the solver for quantile regression and the recent R-package ER-Boost.
Keywords: Asymmetric least square loss; Expectile regression; Support vector machines (search for similar items in EconPapers)
Date: 2017
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (2)
Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S0167947316302821
Full text for ScienceDirect subscribers only.
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:eee:csdana:v:109:y:2017:i:c:p:159-181
DOI: 10.1016/j.csda.2016.11.010
Access Statistics for this article
Computational Statistics & Data Analysis is currently edited by S.P. Azen
More articles in Computational Statistics & Data Analysis from Elsevier
Bibliographic data for series maintained by Catherine Liu ().