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Simultaneous confidence bands for expectile functions

Author

Listed:
  • Mengmeng Guo
  • Wolfgang Härdle
Abstract
Expectile regression, as a general M smoother, is used to capture the tail behaviour of a distribution. Let (X 1 ,Y 1 ),…,(X n ,Y n ) be i.i.d. rvs. Denote by v(x) the unknown τ-expectile regression curve of Y conditional on X, and by v n (x) its kernel smoothing estimator. In this paper, we prove the strong uniform consistency rate of v n (x) under general conditions. Moreover, using strong approximations of the empirical process and extreme value theory, we consider the asymptotic maximal deviation sup 0≤x≤1 |v n (x)−v(x)|. According to the asymptotic theory, we construct simultaneous confidence bands around the estimated expectile function. Furthermore, we apply this confidence band to temperature analysis. Taking Berlin and Taipei as an example, we investigate the temperature risk drivers to these two cities. Copyright Springer-Verlag 2012

Suggested Citation

  • Mengmeng Guo & Wolfgang Härdle, 2012. "Simultaneous confidence bands for expectile functions," AStA Advances in Statistical Analysis, Springer;German Statistical Society, vol. 96(4), pages 517-541, October.
    • Handle: RePEc:spr:alstar:v:96:y:2012:i:4:p:517-541
    DOI: 10.1007/s10182-011-0182-1
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    References listed on IDEAS

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    Cited by:

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    4. Stahlschmidt, Stephan & Eckardt, Matthias & Härdle, Wolfgang Karl, 2014. "Expectile treatment effects: An efficient alternative to compute the distribution of treatment effects," SFB 649 Discussion Papers 2014-059, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
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    6. Mustapha Rachdi & Ali Laksaci & Noriah M. Al-Kandari, 2022. "Expectile regression for spatial functional data analysis (sFDA)," Metrika: International Journal for Theoretical and Applied Statistics, Springer, vol. 85(5), pages 627-655, July.
    7. Kneib, Thomas & Silbersdorff, Alexander & Säfken, Benjamin, 2023. "Rage Against the Mean – A Review of Distributional Regression Approaches," Econometrics and Statistics, Elsevier, vol. 26(C), pages 99-123.
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    9. Shih-Kang Chao & Katharina Proksch & Holger Dette & Wolfgang Karl Härdle, 2017. "Confidence Corridors for Multivariate Generalized Quantile Regression," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 35(1), pages 70-85, January.
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    11. Guo, Mengmeng & Zhou, Lhan & Huang, Jianhua Z. & Härdle, Wolfgang Karl, 2013. "Functional data analysis of generalized quantile regressions," SFB 649 Discussion Papers 2013-001, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
    12. Stéphane Girard & Gilles Stupfler & Antoine Usseglio‐Carleve, 2022. "Nonparametric extreme conditional expectile estimation," Scandinavian Journal of Statistics, Danish Society for Theoretical Statistics;Finnish Statistical Society;Norwegian Statistical Association;Swedish Statistical Association, vol. 49(1), pages 78-115, March.
    13. Burdejova, P. & Härdle, W. & Kokoszka, P. & Xiong, Q., 2017. "Change point and trend analyses of annual expectile curves of tropical storms," Econometrics and Statistics, Elsevier, vol. 1(C), pages 101-117.
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