Improved Confidence Intervals for Expectiles

Spiridon Penev () and Yoshihiko Maesono
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Spiridon Penev: Department of Statistics, The University of New South Wales Sydney, Kensington, NSW 2052, Australia
Yoshihiko Maesono: Department of Mathematics, Chuo University, 1-13-27 Kasuga, Bunkyo-ku, Tokyo 112-8551, Japan

Mathematics, 2025, vol. 13, issue 3, 1-27

Abstract: Expectiles were introduced to statistics around 40 years ago, but have recently gained renewed interest due to their relevance in financial risk management. In particular, the 2007–2009 global financial crisis highlighted the need for more robust risk evaluation tools, leading to the adoption of inference methods for expectiles. While first-order asymptotic inference results for expectiles are well established, higher-order asymptotic results remain underdeveloped. This study aims to fill that gap by deriving higher-order asymptotic results for expectiles, ultimately improving the accuracy of confidence intervals. The paper outlines the derivation of the Edgeworth expansion for both the standardized and studentized versions of the kernel-based estimator of the expectile, using large deviation results on U -statistics. The expansion is then inverted to construct more precise confidence intervals for the expectile. These theoretical results were applied to moderate sample sizes ranging from 20 to 200. To demonstrate the advantages of this methodology, an example from risk management is presented. The enhanced confidence intervals consistently outperformed those based on the first-order normal approximation. The methodology introduced in this paper can also be extended to other contexts.

Keywords: nonparametric statistics; expectile; kernel; smoothing; risk; Edgeworth expansion (search for similar items in EconPapers)
JEL-codes: C (search for similar items in EconPapers)
Date: 2025
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