A confidence corridor for expectile functions

Arbeitspapier

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 |vn(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.

Object Details

• Language: Englisch

References and Relationships

• Bibliographic citation: Series: SFB 649 Discussion Paper ; No. 2011-004

Classification and Topics

• Classification: Wirtschaft ; Mathematical and Quantitative Methods: General ; Semiparametric and Nonparametric Methods: General ; Labor Economics: General ; Wage Level and Structure; Wage Differentials
• Subject: expectile regression ; consistency rate ; simultaneous confidence corridor ; asymmetric least squares ; kernel smoothing ; Regression ; Schätztheorie ; Theorie

Contributors, Places and Time

• Event: Geistige Schöpfung
• (who): Duran, Esra Akdeniz ; Guo, Mengmeng ; Härdle, Wolfgang Karl
• Event: Veröffentlichung
• (who): Humboldt University of Berlin, Collaborative Research Center 649 - Economic Risk
• (where): Berlin
• (when): 2010

Further information

• Handle: http://hdl.handle.net/10419/56713
• Last update: 10.03.2025, 11:44 AM CET