A Confidence Corridor for Expectile Functions
dc.contributor.author | Duran, Esra Akdeniz | |
dc.contributor.author | Guo, Mengmeng | |
dc.contributor.author | Härdle, Wolfgang Karl | |
dc.date.accessioned | 2017-06-16T00:16:47Z | |
dc.date.available | 2017-06-16T00:16:47Z | |
dc.date.created | 2011-04-15 | |
dc.date.issued | 2011-01-03 | |
dc.date.submitted | 2011-01-03 | |
dc.identifier.issn | 1860-5664 | |
dc.identifier.uri | http://edoc.hu-berlin.de/18452/4946 | |
dc.description.abstract | Let (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.iso | eng | |
dc.publisher | Humboldt-Universität zu Berlin, Wirtschaftswissenschaftliche Fakultät | |
dc.rights.uri | http://rightsstatements.org/vocab/InC/1.0/ | |
dc.subject | Consistency Rate | eng |
dc.subject | Kernel Smoothing | eng |
dc.subject | Expectile Regression | eng |
dc.subject | Simultaneous confidence corridor | eng |
dc.subject | Asymmetric least squares | eng |
dc.subject.ddc | 330 Wirtschaft | |
dc.title | A Confidence Corridor for Expectile Functions | |
dc.type | workingPaper | |
dc.identifier.urn | urn:nbn:de:kobv:11-100185703 | |
dc.identifier.doi | http://dx.doi.org/10.18452/4294 | |
local.edoc.pages | 31 | |
local.edoc.type-name | Diskussionspapier | |
local.edoc.container-type | series | |
local.edoc.container-type-name | Schriftenreihe | |
local.edoc.container-year | 2011 | |
dc.identifier.zdb | 2195055-6 | |
bua.series.name | Sonderforschungsbereich 649: Ökonomisches Risiko | |
bua.series.issuenumber | 2011,4 |