Penalized expectile regression: an alternative to penalized quantile regression

Liao, L; Park, C; Choi, H

Choi, H (reprint author), Kyonggi Univ, Dept Appl Stat, Suwon 16227, Kyonggi Do, South Korea.

ANNALS OF THE INSTITUTE OF STATISTICAL MATHEMATICS, 2019; 71 (2): 409

Abstract

This paper concerns the study of the entire conditional distribution of a response given predictors in a heterogeneous regression setting. A common ap......

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