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Flexible expectile regression and applications

Boek - Dissertatie

Among the main interests in regression analysis is to explore the influence that covariates have on a variable of interest, the response. There is an extensive literature on flexible mean regression, in which the targeted quantity is the conditional mean of the response given the covariates. In median (or more generally) quantile regression the focus is on the conditional median of the response given the covariates. Apart from mean and quantiles, there is a growing interest in applying and studying regression expectiles. When it comes to risk management, a first concern is to start from appropriate risk measures. Expected shortfall is among commonly used risk measures, but also the use of expectiles in risk measures, such as Value-at-Risk has drawn the attention and found its way to applications. A first aim of this doctoral research is to investigate expectile regression, including flexible modeling in this context, with emphasis on developing theoretical support. In a second part of the doctoral research the aim is to extend the boundaries of regression by focusing on flexible modeling (involving nonparametric techniques).
Jaar van publicatie:2021
Toegankelijkheid:Closed