Economics at your fingertips  

Simultaneous confidence bands for expectile functions

Mengmeng Guo () and Wolfgang Härdle ()

AStA Advances in Statistical Analysis, 2012, vol. 96, issue 4, 517-541

Abstract: Expectile regression, as a general M smoother, is used to capture the tail behaviour of a distribution. Let (X 1 ,Y 1 ),…,(X n ,Y n ) be i.i.d. rvs. Denote by v(x) the unknown τ-expectile regression curve of Y conditional on X, and by v n (x) its kernel smoothing estimator. In this paper, we prove the strong uniform consistency rate of v n (x) under general conditions. Moreover, using strong approximations of the empirical process and extreme value theory, we consider the asymptotic maximal deviation sup 0≤x≤1 |v n (x)−v(x)|. According to the asymptotic theory, we construct simultaneous confidence bands around the estimated expectile function. Furthermore, we apply this confidence band to temperature analysis. Taking Berlin and Taipei as an example, we investigate the temperature risk drivers to these two cities. Copyright Springer-Verlag 2012

Keywords: Expectile regression; Consistency rate; Simultaneous confidence bands; Asymmetric least squares; Kernel smoothing (search for similar items in EconPapers)
Date: 2012
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (7) Track citations by RSS feed

Downloads: (external link) (text/html)
Access to full text is restricted to subscribers.

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:

Ordering information: This journal article can be ordered from
http://www.springer. ... cs/journal/10182/PS2

DOI: 10.1007/s10182-011-0182-1

Access Statistics for this article

AStA Advances in Statistical Analysis is currently edited by Göran Kauermann and Yarema Okhrin

More articles in AStA Advances in Statistical Analysis from Springer, German Statistical Society
Bibliographic data for series maintained by Sonal Shukla ().

Page updated 2020-07-30
Handle: RePEc:spr:alstar:v:96:y:2012:i:4:p:517-541