Functional Ergodic Time Series Analysis Using Expectile Regression

Author:

Alshahrani FatimahORCID,Almanjahie Ibrahim M.ORCID,Elmezouar Zouaoui ChikrORCID,Kaid ZoulikhaORCID,Laksaci AliORCID,Rachdi MustaphaORCID

Abstract

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. We construct a new estimator and study the asymptotic properties over a general functional time structure. Precisely, the strong consistency of this estimator is established, considering that the sampled observations are taken from an ergodic functional process. Next, a simulation experiment is conducted to highlight the great impact of the constructed estimator as well as the ergodic functional time series data. Finally, a real data analysis is used to demonstrate the superiority of the constructed estimator.

Funder

Princess Nourah bint Abdulrahman University

Publisher

MDPI AG

Subject

General Mathematics,Engineering (miscellaneous),Computer Science (miscellaneous)

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