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Factorisable sparse tail event curves with expectiles

Author

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  • Härdle, Wolfgang Karl
  • Huang, Chen
  • Chao, Shih-Kang

Abstract

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Suggested Citation

  • Härdle, Wolfgang Karl & Huang, Chen & Chao, Shih-Kang, 2016. "Factorisable sparse tail event curves with expectiles," SFB 649 Discussion Papers 2016-018, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
    • Handle: RePEc:zbw:sfb649:sfb649dp2016-018
    Note: Oberwolfach Report: New Developments in Functional and Highly Multivariate Statistical Methodology
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    File URL: https://www.econstor.eu/bitstream/10419/146187/1/857201255.pdf
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    References listed on IDEAS

    as
    1. 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.
    2. 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.
    Full references (including those not matched with items on IDEAS)

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    More about this item

    Keywords

    multivariate functional data; high-dimensional M-estimators; nuclear norm regularizer; factor analysis; expectile regression; fMRI; risk perception;
    All these keywords.

    JEL classification:

    • C38 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Classification Methdos; Cluster Analysis; Principal Components; Factor Analysis
    • C55 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Large Data Sets: Modeling and Analysis
    • C61 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Optimization Techniques; Programming Models; Dynamic Analysis
    • C91 - Mathematical and Quantitative Methods - - Design of Experiments - - - Laboratory, Individual Behavior
    • D87 - Microeconomics - - Information, Knowledge, and Uncertainty - - - Neuroeconomics

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