Optimal model averaging estimator for expectile regressions
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DOI: 10.1016/j.jspi.2021.08.003
Abstract: Abstract In this paper, we consider model averaging for expectile regressions, which are common in many fields. The J -fold cross-validation criterion is developed to determine averaging weights. Under some regularity conditions, we prove that… read more here.
Keywords: averaging estimator; expectile regressions; model averaging; model ... See more keywords