Results 1 to 10 of about 2,303,766 (135)

An elastic-net penalized expectile regression with applications [PDF]

Journal of Applied Statistics, 2021
To perform variable selection in expectile regression, we introduce the elastic-net penalty into expectile regression and propose an elastic-net penalized expectile regression (ER-EN) model.
Cuixia Jiang
exaly   +4 more sources

The Financial Risk Measurement EVaR Based on DTARCH Models [PDF]

Entropy, 2023
The value at risk based on expectile (EVaR) is a very useful method to measure financial risk, especially in measuring extreme financial risk. The double-threshold autoregressive conditional heteroscedastic (DTARCH) model is a valuable tool in assessing ...
Xiaoqian Liu, Zhenni Tan, Yuehua Wu, Yong Zhou   +3 more
doaj   +2 more sources

On the nonparametric estimation of the functional expectile regression [PDF]

Comptes Rendus. Mathématique, 2020
In this note, we investigate the kernel-type estimator of the nonparametric expectile regression model for functional data. More precisely, we establish the almost complete convergence rate of this estimator under some mild conditions.
Mohammedi, Mustapha, Bouzebda, Salim, Laksaci, Ali   +2 more
doaj   +2 more sources

On the recurrent neural network model with robust expectile-based loss function in economic data forecasting [PDF]

MethodsX
Recurrent Neural Networks (RNNs), particularly their Long Short-Term Memory (LSTM) and Gated Recurrent Unit (GRU) variants, are standard methods for modeling sequential data.
Wisnowan Hendy Saputra, Rinda Nariswari, Matthew Owen   +2 more
doaj   +2 more sources

Nonparametric Expectile Shortfall Regression for Complex Functional Structure [PDF]

Entropy
This paper treats the problem of risk management through a new conditional expected shortfall function. The new risk metric is defined by the expectile as the shortfall threshold.
Mohammed B. Alamari, Fatimah A. Almulhim, Zoulikha Kaid, Ali Laksaci   +3 more
doaj   +2 more sources

An expectile-based framework for risk-calibrated credible capacity evaluation of virtual power plants under wind and PV forecast uncertainties [PDF]

Scientific Reports
As renewable penetration continues to increase, virtual power plants (VPPs) are required to evolve from energy aggregators into high-confidence capacity providers capable of delivering firm commitments under uncertainty.
Dong Hua, Jihan Zeng, Qinglin Lin, Shunju Cui, Yiqing Liu, Yuzhan Liang   +5 more
doaj   +2 more sources

Expectile Regression With Errors-in-Variables

IEEE Access, 2023
This paper studies the expectile regression with error-in-variables to reduce the data error and describe the overall data distribution. Specifically, the asymptotic normality of the proposed estimator is thoroughly investigated, and an IRWLS algorithm ...
Xiaoxia He, Xiaodan Zhou, Chunli Li
doaj   +1 more source

Linear expectile regression under massive data

Fundamental Research, 2021
In this paper, we study the large-scale inference for a linear expectile regression model. To mitigate the computational challenges in the classical asymmetric least squares (ALS) estimation under massive data, we propose a communication-efficient divide
Shanshan Song, Yuanyuan Lin, Yong Zhou
doaj   +1 more source

Functional Ergodic Time Series Analysis Using Expectile Regression

Mathematics, 2022
In this article, we study the problem of the recursive estimator of the expectile regression of a scalar variable Y given a random variable X that belongs in functional space.
Fatimah Alshahrani, Ibrahim M. Almanjahie, Zouaoui Chikr Elmezouar, Zoulikha Kaid, Ali Laksaci, Mustapha Rachdi   +5 more
doaj   +1 more source

Expectile Regression on Distributed Large-Scale Data

IEEE Access, 2020
Large-scale data presents great challenges to data analysis due to the limited computer storage capacity and the heterogeneous data structure. In this article, we propose a distributed expectile regression model to resolve the challenges of large-scale ...
Aijun Hu, Chujin Li, Jing Wu
doaj   +1 more source