Estimation and inference for multikink expectile regression with longitudinal data
Sign Up to like & getrecommendations! Published in 2021 at "Statistics in Medicine"
DOI: 10.1002/sim.9277
Abstract: In this article, we investigate parameter estimation, kink points testing and statistical inference for a longitudinal multikink expectile regression model. The estimators for the kink locations and regression coefficients are obtained by using a bootstrap… read more here.
Keywords: expectile regression; inference; estimation; multikink expectile ... See more keywords
Mixed data sampling expectile regression with applications to measuring financial risk
Sign Up to like & getrecommendations! Published in 2020 at "Economic Modelling"
DOI: 10.1016/j.econmod.2020.06.018
Abstract: Abstract To avoid information loss or measurement error in traditional methods dealing with mixed frequency data, we develop a novel mixed data sampling expectile regression (MIDAS-ER) model to measure financial risk. We construct the MIDAS-ER… read more here.
Keywords: data sampling; risk; mixed data; expectile regression ... See more keywords
Spatio-temporal expectile regression models
Sign Up to like & getrecommendations! Published in 2019 at "Statistical Modelling"
DOI: 10.1177/1471082x19829945
Abstract: Spatio-temporal models are becoming increasingly popular in recent regression research. However, they usually rely on the assumption of a specific parametric distribution for the response and/or homoscedastic error terms. In this article, we propose to… read more here.
Keywords: regression; temporal expectile; regression models; spatio temporal ... See more keywords
Double Penalized Expectile Regression for Linear Mixed Effects Model
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DOI: 10.3390/sym14081538
Abstract: This paper constructs the double penalized expectile regression for linear mixed effects model, which can estimate coefficient and choose variable for random and fixed effects simultaneously. The method based on the linear mixed effects model… read more here.
Keywords: mixed effects; regression; double penalized; penalized expectile ... See more keywords