Journal
COMPUTATIONAL STATISTICS & DATA ANALYSIS
Volume 53, Issue 12, Pages 4168-4177Publisher
ELSEVIER
DOI: 10.1016/j.csda.2009.05.002
Keywords
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Funding
- Max Planck Institute for Demographic Research in Rostock (Germany)
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Quantiles are computed by optimizing an asymmetrically weighted L, norm, i.e. the sum of absolute values of residuals. Expectiles are obtained in a similar way when using an L-2 norm, i.e. the sum of squares. Computation is extremely simple: weighted regression leads to the global minimum in a handful of iterations. Least asymmetrically weighted squares are combined with P-splines to compute smooth expectile curves. Asymmetric cross-validation and the Schall algorithm for mixed models allow efficient optimization of the smoothing parameter. Performance is illustrated on simulated and empirical data. (C) 2009 Elsevier B.V. All rights reserved.
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