A location-scale model for non-crossing expectile curves

S.K. Schnabel, P.H.C. Eilers

Research output: Contribution to journalArticleAcademicpeer-review

7 Citations (Scopus)

Abstract

In quantile smoothing, crossing of the estimated curves is a common nuisance, in particular with small data sets and dense sets of quantiles. Similar problems arise in expectile smoothing. We propose a novel method to avoid crossings. It is based on a location-scale model for expectiles and estimates all expectile curves simultaneously in a bundle using iterative least asymmetrically weighted squares. In addition, we show how to estimate a density non-parametrically from a set of expectiles. The model is applied to two data sets.
Original languageEnglish
Pages (from-to)171-183
JournalStat : the ISI's Journal for the Rapid Dissemination of Statistics Research
Volume2
Issue number1
DOIs
Publication statusPublished - 2013

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