Variable selection and debiased estimation for single‐index expectile model
Author:
Affiliation:
1. Donghua University Shanghai 201620 People's Republic of China
Publisher
Wiley
Subject
Statistics, Probability and Uncertainty,Statistics and Probability
Link
https://onlinelibrary.wiley.com/doi/pdf/10.1111/anzs.12348
Reference23 articles.
1. M-quantiles
2. Assessing Tail Risk Using Expectile Regressions with Partially Varying Coefficients
3. Single-Index-Based CoVaR With Very High-Dimensional Covariates
4. High-dimensional generalizations of asymmetric least squares regression and their applications
5. Confidence intervals for high-dimensional partially linear single-index models
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