Multivariate factorizable expectile regression with application to fMRI data
Author
Abstract
Suggested Citation
DOI: 10.1016/j.csda.2017.12.001
Download full text from publisher
As the access to this document is restricted, you may want to search for a different version of it.
References listed on IDEAS
- Chao, Shih-Kang & Härdle, Wolfgang K. & Yuan, Ming, 2021.
"Factorisable Multitask Quantile Regression,"
Econometric Theory, Cambridge University Press, vol. 37(4), pages 794-816, August.
- Chao, Shih-Kang & Härdle, Wolfgang Karl & Yuan, Ming, 2016. "Factorisable multi-task quantile regression," SFB 649 Discussion Papers 2016-057, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
- Chao, Shih-Kang & Härdle, Wolfgang Karl & Yuan, Ming, 2020. "Factorisable Multitask Quantile Regression," IRTG 1792 Discussion Papers 2020-004, Humboldt University of Berlin, International Research Training Group 1792 "High Dimensional Nonstationary Time Series".
- Koenker, Roger W & Bassett, Gilbert, Jr, 1978. "Regression Quantiles," Econometrica, Econometric Society, vol. 46(1), pages 33-50, January.
- De Rossi, Giuliano & Harvey, Andrew, 2009.
"Quantiles, expectiles and splines,"
Journal of Econometrics, Elsevier, vol. 152(2), pages 179-185, October.
- DeRossi, G. & Harvey, A., 2007. "Quantiles, Expectiles and Splines," Cambridge Working Papers in Economics 0660, Faculty of Economics, University of Cambridge.
- DeRossi, G. & Harvey, A., 2007. "Quantiles, Expectiles and Splines," Cambridge Working Papers in Economics 0702, Faculty of Economics, University of Cambridge.
- Ming Yuan & Ali Ekici & Zhaosong Lu & Renato Monteiro, 2007. "Dimension reduction and coefficient estimation in multivariate linear regression," Journal of the Royal Statistical Society Series B, Royal Statistical Society, vol. 69(3), pages 329-346, June.
- Shih-Kang Chao & Katharina Proksch & Holger Dette & Wolfgang Karl Härdle, 2017.
"Confidence Corridors for Multivariate Generalized Quantile Regression,"
Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 35(1), pages 70-85, January.
- Chao, Shih-kang & Proksch, Katharina & Dette, Holger & Härdle, Wolfgang Karl, 2014. "Confidence corridors for multivariate generalized quantile regression," SFB 649 Discussion Papers 2014-028, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
- Majer, Piotr & Mohr, Peter N. C. & Heekeren, Hauke R. & Härdle, Wolfgang Karl, 2014. "Portfolio decisions and brain reactions via the CEAD method," SFB 649 Discussion Papers 2014-036, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
- Izenman, Alan Julian, 1975. "Reduced-rank regression for the multivariate linear model," Journal of Multivariate Analysis, Elsevier, vol. 5(2), pages 248-264, June.
- Newey, Whitney K & Powell, James L, 1987. "Asymmetric Least Squares Estimation and Testing," Econometrica, Econometric Society, vol. 55(4), pages 819-847, July.
- Colin F. Camerer, 2007. "Neuroeconomics: Using Neuroscience to Make Economic Predictions," Economic Journal, Royal Economic Society, vol. 117(519), pages 26-42, March.
- Alena Bömmel & Song Song & Piotr Majer & Peter Mohr & Hauke Heekeren & Wolfgang Härdle, 2014. "Risk Patterns and Correlated Brain Activities. Multidimensional Statistical Analysis of fMRI Data in Economic Decision Making Study," Psychometrika, Springer;The Psychometric Society, vol. 79(3), pages 489-514, July.
Citations
Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
Cited by:
- Chao, Shih-Kang & Härdle, Wolfgang K. & Yuan, Ming, 2021.
"Factorisable Multitask Quantile Regression,"
Econometric Theory, Cambridge University Press, vol. 37(4), pages 794-816, August.
- Chao, Shih-Kang & Härdle, Wolfgang Karl & Yuan, Ming, 2016. "Factorisable multi-task quantile regression," SFB 649 Discussion Papers 2016-057, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
- Chao, Shih-Kang & Härdle, Wolfgang Karl & Yuan, Ming, 2020. "Factorisable Multitask Quantile Regression," IRTG 1792 Discussion Papers 2020-004, Humboldt University of Berlin, International Research Training Group 1792 "High Dimensional Nonstationary Time Series".
- Christis Katsouris, 2023. "Statistical Estimation for Covariance Structures with Tail Estimates using Nodewise Quantile Predictive Regression Models," Papers 2305.11282, arXiv.org, revised Jul 2023.
- Hu, Junjie & López Cabrera, Brenda & Melzer, Awdesch, 2021. "Advanced statistical learning on short term load process forecasting," IRTG 1792 Discussion Papers 2021-020, Humboldt University of Berlin, International Research Training Group 1792 "High Dimensional Nonstationary Time Series".
Most related items
These are the items that most often cite the same works as this one and are cited by the same works as this one.- repec:hum:wpaper:sfb649dp2016-058 is not listed on IDEAS
- Chao, Shih-Kang & Härdle, Wolfgang Karl & Huang, Chen, 2016. "Multivariate factorisable sparse asymmetric least squares regression," SFB 649 Discussion Papers 2016-058, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
- Zhang, Feipeng & Xu, Yixiong & Fan, Caiyun, 2023. "Nonparametric inference of expectile-based value-at-risk for financial time series with application to risk assessment," International Review of Financial Analysis, Elsevier, vol. 90(C).
- Zhang, Feipeng & Li, Qunhua, 2017. "A continuous threshold expectile model," Computational Statistics & Data Analysis, Elsevier, vol. 116(C), pages 49-66.
- Kneib, Thomas & Silbersdorff, Alexander & Säfken, Benjamin, 2023. "Rage Against the Mean – A Review of Distributional Regression Approaches," Econometrics and Statistics, Elsevier, vol. 26(C), pages 99-123.
- Chao, Shih-Kang & Härdle, Wolfgang Karl & Yuan, Ming, 2015. "Factorisable sparse tail event curves," SFB 649 Discussion Papers 2015-034, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
- Dai, Sheng & Kuosmanen, Timo & Zhou, Xun, 2023. "Generalized quantile and expectile properties for shape constrained nonparametric estimation," European Journal of Operational Research, Elsevier, vol. 310(2), pages 914-927.
- C. Adam & I. Gijbels, 2022. "Local polynomial expectile regression," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 74(2), pages 341-378, April.
- repec:hum:wpaper:sfb649dp2015-034 is not listed on IDEAS
- Akosah, Nana Kwame & Alagidede, Imhotep Paul & Schaling, Eric, 2020. "Testing for asymmetry in monetary policy rule for small-open developing economies: Multiscale Bayesian quantile evidence from Ghana," The Journal of Economic Asymmetries, Elsevier, vol. 22(C).
- Gaglianone, Wagner Piazza & Guillén, Osmani Teixeira de Carvalho & Figueiredo, Francisco Marcos Rodrigues, 2018. "Estimating inflation persistence by quantile autoregression with quantile-specific unit roots," Economic Modelling, Elsevier, vol. 73(C), pages 407-430.
- Hamidi, Benjamin & Maillet, Bertrand & Prigent, Jean-Luc, 2014.
"A dynamic autoregressive expectile for time-invariant portfolio protection strategies,"
Journal of Economic Dynamics and Control, Elsevier, vol. 46(C), pages 1-29.
- Benjamin HAMIDI & Bertrand MAILLET & Jean-Luc PRIGENT, 2013. "A Dynamic AutoRegressive Expectile for Time-Invariant Portfolio Protection Strategies," LEO Working Papers / DR LEO 164, Orleans Economics Laboratory / Laboratoire d'Economie d'Orleans (LEO), University of Orleans.
- Benjamin Hamidi & Bertrand Maillet & Jean-Luc Prigent, 2014. "A dynamic autoregressive expectile for time-invariant portfolio protection strategies," Post-Print hal-01697643, HAL.
- Benjamin Hamidi & Bertrand Maillet & Jean-Luc Prigent, 2014. "A Dynamic AutoRegressive Expectile for Time-Invariant Portfolio Protection Strategies," Working Papers halshs-01015390, HAL.
- Benjamin Hamidi & Bertrand Maillet & Jean-Luc Prigent, 2014. "A Dynamic AutoRegressive Expectile for Time-Invariant Portfolio Protection Strategies," Working Papers 2014-131, Department of Research, Ipag Business School.
- Benjamin Hamidi & Bertrand Maillet & Jean-Luc Prigent, 2014. "A dynamic autoregressive expectile for time-invariant portfolio protection strategies," Post-Print hal-02312331, HAL.
- Chen, Yu & Ma, Mengyuan & Sun, Hongfang, 2023. "Statistical inference for extreme extremile in heavy-tailed heteroscedastic regression model," Insurance: Mathematics and Economics, Elsevier, vol. 111(C), pages 142-162.
- Otto-Sobotka, Fabian & Salvati, Nicola & Ranalli, Maria Giovanna & Kneib, Thomas, 2019. "Adaptive semiparametric M-quantile regression," Econometrics and Statistics, Elsevier, vol. 11(C), pages 116-129.
- Song, Song & Ritov, Ya’acov & Härdle, Wolfgang K., 2012. "Bootstrap confidence bands and partial linear quantile regression," Journal of Multivariate Analysis, Elsevier, vol. 107(C), pages 244-262.
- Holmes, Mark J. & Otero, Jesús & Panagiotidis, Theodore, 2011.
"Investigating regional house price convergence in the United States: Evidence from a pair-wise approach,"
Economic Modelling, Elsevier, vol. 28(6), pages 2369-2376.
- Mark J. Holmes & Jesús Otero & Theodore Panagiotidis, 2011. "Investigating Regional House Price Convergence in the United States: Evidence from a Pair-Wise Approach," Working Paper series 29_11, Rimini Centre for Economic Analysis.
- Mark J. Holmes & Theodore Panagiotidis & Jesus Otero, 2011. "Investigating Regional House Price Convergence in the United States: Evidence from a pair-wise approach," Discussion Paper Series 2011_12, Department of Economics, University of Macedonia, revised Jun 2011.
- Parente, Paulo M.D.C. & Smith, Richard J., 2011.
"Gel Methods For Nonsmooth Moment Indicators,"
Econometric Theory, Cambridge University Press, vol. 27(1), pages 74-113, February.
- Paulo Parente & Richard Smith, 2008. "GEL methods for non-smooth moment indicators," CeMMAP working papers CWP19/08, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
- Manganelli, Simone, 2007. "Asset allocation by penalized least squares," Working Paper Series 723, European Central Bank.
- Chen, Canyi & Xu, Wangli & Zhu, Liping, 2022. "Distributed estimation in heterogeneous reduced rank regression: With application to order determination in sufficient dimension reduction," Journal of Multivariate Analysis, Elsevier, vol. 190(C).
- Dingshi Tian & Zongwu Cai & Ying Fang, 2018. "Econometric Modeling of Risk Measures: A Selective Review of the Recent Literature," WORKING PAPERS SERIES IN THEORETICAL AND APPLIED ECONOMICS 201807, University of Kansas, Department of Economics, revised Oct 2018.
- Machado, Jose A. F. & Silva, J. M. C. Santos, 2000. "Glejser's test revisited," Journal of Econometrics, Elsevier, vol. 97(1), pages 189-202, July.
- Abdelaati Daouia & Irène Gijbels & Gilles Stupfler, 2022.
"Extremile Regression,"
Journal of the American Statistical Association, Taylor & Francis Journals, vol. 117(539), pages 1579-1586, September.
- Daouia, Abdelaati & Gijbels, Irene & Stupfler, Gilles, 2021. "Extremile Regression," TSE Working Papers 21-1176, Toulouse School of Economics (TSE).
- Abdelaati Daouia & Irene Gijbels & Gilles Stupfler, 2021. "Extremile regression," Post-Print hal-03181017, HAL.
- Abdelaati Daouia & Gilles Stupfler, 2024. "Extremile Regression," Post-Print hal-04697061, HAL.
- Daouia, Abdelaati & Stupfler, Gilles, 2024. "Extremile Regression," TSE Working Papers 24-1546, Toulouse School of Economics (TSE).
More about this item
Keywords
Multivariate regression; Factor analysis; Expectile regression; Functional magnetic resonance imaging; Risk preference;All these keywords.
Statistics
Access and download statisticsCorrections
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:eee:csdana:v:121:y:2018:i:c:p:1-19. See general information about how to correct material in RePEc.
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Catherine Liu (email available below). General contact details of provider: http://www.elsevier.com/locate/csda .
Please note that corrections may take a couple of weeks to filter through the various RePEc services.