The local linear functional kNN estimator of the conditional expectile: uniform consistency in number of neighbors
Author
Abstract
Suggested Citation
DOI: 10.1007/s00184-023-00942-0
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
- Germán Aneiros & Ricardo Cao & Philippe Vieu, 2019. "Editorial on the special issue on Functional Data Analysis and Related Topics," Computational Statistics, Springer, vol. 34(2), pages 447-450, June.
- Kuan, Chung-Ming & Yeh, Jin-Huei & Hsu, Yu-Chin, 2009. "Assessing value at risk with CARE, the Conditional Autoregressive Expectile models," Journal of Econometrics, Elsevier, vol. 150(2), pages 261-270, June.
- Werner Ehm & Tilmann Gneiting & Alexander Jordan & Fabian Krüger, 2016. "Of quantiles and expectiles: consistent scoring functions, Choquet representations and forecast rankings," Journal of the Royal Statistical Society Series B, Royal Statistical Society, vol. 78(3), pages 505-562, June.
- Johanna F. Ziegel, 2016. "Coherence And Elicitability," Mathematical Finance, Wiley Blackwell, vol. 26(4), pages 901-918, October.
- Demongeot, Jacques & Hamie, Ali & Laksaci, Ali & Rachdi, Mustapha, 2016. "Relative-error prediction in nonparametric functional statistics: Theory and practice," Journal of Multivariate Analysis, Elsevier, vol. 146(C), pages 261-268.
- Koenker, Roger & Zhao, Quanshui, 1996. "Conditional Quantile Estimation and Inference for Arch Models," Econometric Theory, Cambridge University Press, vol. 12(5), pages 793-813, December.
- Zouaoui Chikr-Elmezouar & Ibrahim M. Almanjahie & Ali Laksaci & Mustapha Rachdi, 2019. "FDA: strong consistency of the NN local linear estimation of the functional conditional density and mode," Journal of Nonparametric Statistics, Taylor & Francis Journals, vol. 31(1), pages 175-195, January.
- J. Barrientos-Marin & F. Ferraty & P. Vieu, 2010. "Locally modelled regression and functional data," Journal of Nonparametric Statistics, Taylor & Francis Journals, vol. 22(5), pages 617-632.
- Bellini, Fabio & Klar, Bernhard & Müller, Alfred & Rosazza Gianin, Emanuela, 2014. "Generalized quantiles as risk measures," Insurance: Mathematics and Economics, Elsevier, vol. 54(C), pages 41-48.
- Koenker, Roger W & Bassett, Gilbert, Jr, 1978. "Regression Quantiles," Econometrica, Econometric Society, vol. 46(1), pages 33-50, January.
- Fahimah A. Al-Awadhi & Zoulikha Kaid & Ali Laksaci & Idir Ouassou & Mustapha Rachdi, 2019. "Functional data analysis: local linear estimation of the $$L_1$$ L 1 -conditional quantiles," Statistical Methods & Applications, Springer;Società Italiana di Statistica, vol. 28(2), pages 217-240, June.
- Kara, Lydia-Zaitri & Laksaci, Ali & Rachdi, Mustapha & Vieu, Philippe, 2017. "Data-driven kNN estimation in nonparametric functional data analysis," Journal of Multivariate Analysis, Elsevier, vol. 153(C), pages 176-188.
- Belkacem Abdous & Bruno Remillard, 1995. "Relating quantiles and expectiles under weighted-symmetry," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 47(2), pages 371-384, June.
- Aigner, D J & Amemiya, Takeshi & Poirier, Dale J, 1976. "On the Estimation of Production Frontiers: Maximum Likelihood Estimation of the Parameters of a Discontinuous Density Function," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 17(2), pages 377-396, June.
- Azzedine, Nadjia & Laksaci, Ali & Ould-Saïd, Elias, 2008. "On robust nonparametric regression estimation for a functional regressor," Statistics & Probability Letters, Elsevier, vol. 78(18), pages 3216-3221, December.
- Sobotka, Fabian & Kneib, Thomas, 2012. "Geoadditive expectile regression," Computational Statistics & Data Analysis, Elsevier, vol. 56(4), pages 755-767.
- Newey, Whitney K & Powell, James L, 1987. "Asymmetric Least Squares Estimation and Testing," Econometrica, Econometric Society, vol. 55(4), pages 819-847, July.
- James W. Taylor, 2008. "Estimating Value at Risk and Expected Shortfall Using Expectiles," Journal of Financial Econometrics, Oxford University Press, vol. 6(2), pages 231-252, Spring.
- Fabio Bellini & Ilia Negri & Mariya Pyatkova, 2019. "Backtesting VaR and expectiles with realized scores," Statistical Methods & Applications, Springer;Società Italiana di Statistica, vol. 28(1), pages 119-142, March.
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.- Mohammedi, Mustapha & Bouzebda, Salim & Laksaci, Ali, 2021. "The consistency and asymptotic normality of the kernel type expectile regression estimator for functional data," Journal of Multivariate Analysis, Elsevier, vol. 181(C).
- Daouia, Abdelaati & Girard, Stéphane & Stupfler, Gilles, 2018. "Tail expectile process and risk assessment," TSE Working Papers 18-944, Toulouse School of Economics (TSE).
- Daouia, Abdelaati & Girard, Stéphane & Stupfler, Gilles, 2021.
"ExpectHill estimation, extreme risk and heavy tails,"
Journal of Econometrics, Elsevier, vol. 221(1), pages 97-117.
- Daouia, Abdelaati & Girard, Stéphane & Stupfler, Gilles, 2018. "ExpectHill estimation, extreme risk and heavy tails," TSE Working Papers 18-953, Toulouse School of Economics (TSE).
- Taoufik Bouezmarni & Mohamed Doukali & Abderrahim Taamouti, 2024.
"Testing Granger non-causality in expectiles,"
Econometric Reviews, Taylor & Francis Journals, vol. 43(1), pages 30-51, January.
- Taoufik Bouezmarni & Mohamed Doukali & Abderrahim Taamouti, 2022. "Testing Granger Non-Causality in Expectiles," Working Papers 202207, University of Liverpool, Department of Economics.
- Taoufik Bouezmarni & Mohamed Doukali & Abderrahim Taamouti, 2023. "Testing Granger Non-Causality in Expectiles," University of East Anglia School of Economics Working Paper Series 2023-02, School of Economics, University of East Anglia, Norwich, UK..
- Litimein, Ouahiba & Laksaci, Ali & Mechab, Boubaker & Bouzebda, Salim, 2023. "Local linear estimate of the functional expectile regression," Statistics & Probability Letters, Elsevier, vol. 192(C).
- Laura Garcia-Jorcano & Lidia Sanchis-Marco, 2023. "Measuring Systemic Risk Using Multivariate Quantile-Located ES Models," Journal of Financial Econometrics, Oxford University Press, vol. 21(1), pages 1-72.
- 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).
- Abdelaati Daouia & Simone A. Padoan & Gilles Stupfler, 2024. "Extreme expectile estimation for short-tailed data," Post-Print hal-04672516, HAL.
- Wang, Bingling & Li, Yingxing & Härdle, Wolfgang Karl, 2022.
"K-expectiles clustering,"
Journal of Multivariate Analysis, Elsevier, vol. 189(C).
- Wang, Bingling & Li, Yingxing & Härdle, Wolfgang, 2021. "K-expectiles clustering," IRTG 1792 Discussion Papers 2021-003, Humboldt University of Berlin, International Research Training Group 1792 "High Dimensional Nonstationary Time Series".
- James Ming Chen, 2018. "On Exactitude in Financial Regulation: Value-at-Risk, Expected Shortfall, and Expectiles," Risks, MDPI, vol. 6(2), pages 1-28, June.
- Daouia, Abdelaati & Padoan, Simone A. & Stupfler, Gilles, 2023. "Extreme expectile estimation for short-tailed data, with an application to market risk assessment," TSE Working Papers 23-1414, Toulouse School of Economics (TSE), revised May 2024.
- Garcia-Jorcano, Laura & Sanchis-Marco, Lidia, 2021. "Systemic-systematic risk in financial system: A dynamic ranking based on expectiles," International Review of Economics & Finance, Elsevier, vol. 75(C), pages 330-365.
- Litimein, Ouahiba & Laksaci, Ali & Ait-Hennani, Larbi & Mechab, Boubaker & Rachdi, Mustapha, 2024. "Asymptotic normality of the local linear estimator of the functional expectile regression," Journal of Multivariate Analysis, Elsevier, vol. 202(C).
- Man, Rebeka & Tan, Kean Ming & Wang, Zian & Zhou, Wen-Xin, 2024. "Retire: Robust expectile regression in high dimensions," Journal of Econometrics, Elsevier, vol. 239(2).
- Daouia, Abdelaati & Stupfler, Gilles & Usseglio-Carleve, Antoine, 2023.
"An expectile computation cookbook,"
TSE Working Papers
23-1458, Toulouse School of Economics (TSE).
- Abdelaati Daouia & Gilles Stupfler & Antoine Usseglio-Carleve, 2024. "An expectile computation cookbook," Post-Print hal-04524319, HAL.
- 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.
- Girard, Stéphane & Stupfler, Gilles & Usseglio-Carleve, Antoine, 2022. "Functional estimation of extreme conditional expectiles," Econometrics and Statistics, Elsevier, vol. 21(C), pages 131-158.
- Farooq, Muhammad & Steinwart, Ingo, 2017. "An SVM-like approach for expectile regression," Computational Statistics & Data Analysis, Elsevier, vol. 109(C), pages 159-181.
- Daouia, Abdelaati & Padoan, Simone A. & Stupfler, Gilles, 2024.
"Extreme expectile estimation for short-tailed data,"
Journal of Econometrics, Elsevier, vol. 241(2).
- Abdelaati Daouia & Simone A. Padoan & Gilles Stupfler, 2024. "Extreme expectile estimation for short-tailed data," Post-Print hal-04672516, HAL.
- Stéphane Girard & Gilles Stupfler & Antoine Usseglio‐Carleve, 2022. "Nonparametric extreme conditional expectile estimation," Scandinavian Journal of Statistics, Danish Society for Theoretical Statistics;Finnish Statistical Society;Norwegian Statistical Association;Swedish Statistical Association, vol. 49(1), pages 78-115, March.
More about this item
Keywords
Functional data analysis; Expectile regression; kNN method; UNN consistency; Functional nonparametric statistics; Almost complete convergence rate;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:spr:metrik:v:87:y:2024:i:8:d:10.1007_s00184-023-00942-0. 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: Sonal Shukla or Springer Nature Abstracting and Indexing (email available below). General contact details of provider: http://www.springer.com .
Please note that corrections may take a couple of weeks to filter through the various RePEc services.