Functional Ergodic Time Series Analysis Using Expectile Regression

Fatimah Alshahrani, Ibrahim M. Almanjahie, Zouaoui Chikr Elmezouar (), Zoulikha Kaid, Ali Laksaci and Mustapha Rachdi
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Fatimah Alshahrani: Department of Mathematical Sciences, College of Science, Princess Nourah bint Abdulrahman University, Riyadh 11671, Saudi Arabia
Ibrahim M. Almanjahie: Department of Mathematics, College of Science, King Khalid University, Abha 62529, Saudi Arabia
Zouaoui Chikr Elmezouar: Department of Mathematics, College of Science, King Khalid University, Abha 62529, Saudi Arabia
Zoulikha Kaid: Department of Mathematics, College of Science, King Khalid University, Abha 62529, Saudi Arabia
Ali Laksaci: Department of Mathematics, College of Science, King Khalid University, Abha 62529, Saudi Arabia
Mustapha Rachdi: Laboratory AGEIS, University of Grenoble Alpes (France), EA 7407, AGIM Team, UFR SHS, BP. 47, CEDEX 09, F38040 Grenoble, France

Mathematics, 2022, vol. 10, issue 20, 1-17

Abstract: In this article, we study the problem of the recursive estimator of the expectile regression of a scalar variable Y given a random variable X that belongs in functional space. We construct a new estimator and study the asymptotic properties over a general functional time structure. Precisely, the strong consistency of this estimator is established, considering that the sampled observations are taken from an ergodic functional process. Next, a simulation experiment is conducted to highlight the great impact of the constructed estimator as well as the ergodic functional time series data. Finally, a real data analysis is used to demonstrate the superiority of the constructed estimator.

Keywords: functional ergodic data; recursive estimator; complete convergence (a.co.); expectile function; kernel method; bandwidth parameter; financial risk management (search for similar items in EconPapers)
JEL-codes: C (search for similar items in EconPapers)
Date: 2022
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (2)

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