Duran, Esra Akdeniz; Guo, Mengmeng; Härdle, Wolfgang Karl - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 2011
Let (X1; Y1), ..., (Xn; Yn) be i.i.d. rvs and let v(x) be the unknown tau - expectile regression curve of Y conditional … on X. An expectile-smoother vn(x) is a localized, nonlinear estimator of v(x). The strong uniform consistency rate is … sup06x61 jvn(x)v(x)j. The derived result helps in the construction of a uniform confidence band for the expectile curve …