Expectile and quantile regression—David and Goliath?

By Linda Schulze Waltrup, Fabian Sobotka, Thomas Kneib, Goeran Kauermann. 2015

145 citations recorded by the source corpus.

Subfields: Statistics and Probability

View Paper: https://www.semanticscholar.org/paper/1a343de9591cf3f97ce4ec56c353b031b4da6f29

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In Statistics and Probability

1. Bernhard Klar
2. Hajo Holzmann

Citations in the corpus

• Estimation of tail risk based on extreme expectiles (2016, unknown): “Furthermore, unlike sample quantiles, sample expectiles provide a class of smooth curves as functions of the level τ (see, e.g. , Schulze Waltrup et al. , 2015).”
• Expectile Asymptotics (2015, background): “For a recent comparison between quantile and expectile regression and references see Schulze-Waltrup et al. (2014).”