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On confidence intervals for semiparametric expectile regression

Abstract

In regression scenarios there is a growing demand for information on the conditional distribution of the response beyond the mean. In this scenario quantile regression is an established method of tail analysis. It is well understood in terms of asymptotic properties and estimation quality. Another way to look at the tail of a distribution is via expectiles. They provide a valuable alternative since they come with a combination of preferable attributes. The easy weighted least squares estimation of expectiles and the quadratic penalties often used in flexible regression models are natural partners. Also, in a similar way as quantiles can be seen as a generalisation of median regression, expectiles offer a generalisation of mean regression. In addition to regression estimates, confidence intervals are essential for interpretational purposes and to assess the variability of the estimate, but there is a lack of knowledge regarding the asymptotic properties of a semiparametric expectile regression estimate. Therefore confidence intervals for expectiles based on an asymptotic normal distribution are introduced. Their properties are investigated by a simulation study and compared to a boostrap-based gold standard method. Finally the introduced confidence intervals help to evaluate a geoadditive expectile regression model on childhood malnutrition data from India.

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Correspondence to Fabian Sobotka.

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Open Access This is an open access article distributed under the terms of the Creative Commons Attribution Noncommercial License (https://creativecommons.org/licenses/by-nc/2.0), which permits any noncommercial use, distribution, and reproduction in any medium, provided the original author(s) and source are credited.

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Sobotka, F., Kauermann, G., Schulze Waltrup, L. et al. On confidence intervals for semiparametric expectile regression. Stat Comput 23, 135–148 (2013). https://doi.org/10.1007/s11222-011-9297-1

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Keywords

  • Expectiles
  • Least asymmetrically weighted squares
  • P-splines
  • Confidence intervals
  • Semiparametric regression