variable selection62J9962F1262F25In this paper, we consider penalized linear expectile regression using SCAD penalty function. We prove that our estimator has not only consistency but also oracle properties. In order to perform a better statistical inference, we make a correction of our estimator....
The smoothed expectile empirical log-likelihood ratio process follow asymptotically a chi-square distribution and moreover the adaptive LASSO smoothed expectile maximum EL estimator satisfies the sparsity property which guarantees the automatic selection of zero model coefficients. In order to implement these...
expectile regressionsingle-index modelvariable selectionThis article develops a penalised asymmetric least squares estimator for single-index expectile model. The oracle property of the proposed estimator is established. Moreover, the debiasing technique is used to construct an estimator that is ...
Smoothed empirical likelihood estimation and automatic variable selection for an expectile high-dimensional modelGabriela Ciuperca