Variable selection and debiased estimation for single ‐index expectile model
This article develops a penalised asymmetric least squares estimator for single-index expectile model. The oracle property of the proposed estimator is established. Moreover, the debiasing technique is used to construct an estimator that is asymptotically normal, which enables the construction of valid confidence intervals and hypothesis testing. Simulation studies and one real data application are conducted to illustrate the finite sample performance of the proposed methods.
Source: Australian and New Zealand Journal of Statistics - Category: Statistics Authors: Rong Jiang,
Yexun Peng,
Yufei Deng Tags: Original Article Source Type: research