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http://hdl.handle.net/10419/56713
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| Title: | | A confidence corridor for expectile functions  |
| 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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