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Title:A confidence corridor for expectile functions PDF Logo
Authors:Duran, Esra Akdeniz
Guo, Mengmeng
Härdle, Wolfgang Karl
Issue Date:2010
Series/Report no.:SFB 649 discussion paper 2011-004
Abstract:Let (X1, Y1), ..., (Xn, Yn) be i.i.d. rvs and let v(x) be the unknown T-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 n(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.
Subjects:expectile regression
consistency rate
simultaneous confidence corridor
asymmetric least squares
kernel smoothing
JEL:C00
C14
J01
J31
Document Type:Working Paper
Appears in Collections:SFB 649 Discussion Papers, HU Berlin

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