Guo, Mengmeng; Härdle, Wolfgang - In: AStA Advances in Statistical Analysis 96 (2012) 4, pp. 517-541
Expectile regression, as a general M smoother, is used to capture the tail behaviour of a distribution. Let (X …. Denote by v(x) the unknown τ-expectile regression curve of Y conditional on X, and by v <Subscript> n </Subscript>(x) its … the asymptotic theory, we construct simultaneous confidence bands around the estimated expectile function. Furthermore, we …