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2011-01-03Buch DOI: 10.18452/4294
A Confidence Corridor for Expectile Functions
dc.contributor.authorDuran, Esra Akdeniz
dc.contributor.authorGuo, Mengmeng
dc.contributor.authorHärdle, Wolfgang Karl
dc.date.accessioned2017-06-16T00:16:47Z
dc.date.available2017-06-16T00:16:47Z
dc.date.created2011-04-15
dc.date.issued2011-01-03none
dc.date.submitted2011-01-03
dc.identifier.urihttp://edoc.hu-berlin.de/18452/4946
dc.description.abstractLet (X1; Y1), …, (Xn; Yn) be i.i.d. rvs and let v(x) be the unknown τ - expectile regression curve of Y conditional on X. An expectile-smoother vn(x) is a localized, nonlinear estimator of v(x). The strong uniform consistency rate is established under general conditions. In many applications it is necessary to know the stochastic fluctuation of the process {vn(x) – v(x)}. Using strong approximations of the empirical process and extreme value theory, we consider the asymptotic maximal deviation sup0≤x≤1 |vn(x) – v(x)|. The derived result helps in the construction of a uniform confidence band for the expectile curve v(x). This paper considers fitting a simultaneous confidence corridor (SCC) around the estimated expectile function of the conditional distribution of Y given x based on the observational data generated according to a nonparametric regression model. Moreover, we construct the simultaneous confidence corridors around the expectiles of the residuals from the temperature models to investigate the temperature risk drivers.eng
dc.language.isoeng
dc.publisherHumboldt-Universität zu Berlin, Wirtschaftswissenschaftliche Fakultät
dc.relation.ispartofseriesSonderforschungsbereich 649: Ökonomisches Risiko - 4, SFB 649 Papers, ISSN:1860-5664
dc.subjectConsistency Rateeng
dc.subjectKernel Smoothingeng
dc.subjectExpectile Regressioneng
dc.subjectSimultaneous confidence corridoreng
dc.subjectAsymmetric least squareseng
dc.subject.ddc330 Wirtschaft
dc.titleA Confidence Corridor for Expectile Functions
dc.typebook
dc.identifier.urnurn:nbn:de:kobv:11-100185703
dc.identifier.doihttp://dx.doi.org/10.18452/4294
local.edoc.container-titleSonderforschungsbereich 649: Ökonomisches Risiko
local.edoc.container-issn1860-5664
local.edoc.pages31
local.z-edoc.journal-periodikumAusgabe4,
local.edoc.type-nameBuch
local.edoc.container-typeseries
local.edoc.container-type-nameSchriftenreihe
local.edoc.container-volume2011
local.edoc.container-issue4
local.edoc.container-year2011
local.edoc.container-erstkatid2195055-6

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