期刊
COMPUTATIONAL STATISTICS & DATA ANALYSIS
卷 53, 期 12, 页码 4168-4177出版社
ELSEVIER
DOI: 10.1016/j.csda.2009.05.002
关键词
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资金
- Max Planck Institute for Demographic Research in Rostock (Germany)
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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