Retire: Robust expectile regression in high dimensions
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DOI: 10.1016/j.jeconom.2023.04.004
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Cited by:
- Li, Xiang & Li, Yu-Ning & Zhang, Li-Xin & Zhao, Jun, 2024. "Inference for high-dimensional linear expectile regression with de-biasing method," Computational Statistics & Data Analysis, Elsevier, vol. 198(C).
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Keywords
Expectile regression; Heavy-tailed error; Quantile regression; Robustness; Concave regularization;All these keywords.
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