Factorisable Sparse Tail Event Curves with Expectiles

SFB 649 Discussion Paper 2016-018, Economic Risk, Berlin

6 Pages Posted: 27 Jun 2016

See all articles by Wolfgang K. Härdle

Wolfgang K. Härdle

Blockchain Research Center; Xiamen University - Wang Yanan Institute for Studies in Economics (WISE); Charles University; National Yang Ming Chiao Tung University; Humboldt University of Berlin - Center for Applied Statistics and Economics (CASE)

Chen Huang

Aarhus University - Department of Economics and Business Economics

Shih-Kang Chao

Humboldt University of Berlin - Center for Applied Statistics and Economics (CASE)

Date Written: March 15, 2016

Abstract

Oberwolfach Report: New Developments in Functional and Highly Multivariate Statistical Methodology.

Keywords: multivariate functional data, high-dimensional M-estimators, nuclear norm regularizer, factor analysis, expectile regression, fMRI, risk perception

JEL Classification: C38, C55, C61, C91, D87

Suggested Citation

Härdle, Wolfgang K. and Huang, Chen and Chao, Shih-Kang, Factorisable Sparse Tail Event Curves with Expectiles (March 15, 2016). SFB 649 Discussion Paper 2016-018, Economic Risk, Berlin, Available at SSRN: https://ssrn.com/abstract=2800950 or http://dx.doi.org/10.2139/ssrn.2800950

Wolfgang K. Härdle (Contact Author)

Blockchain Research Center ( email )

Unter den Linden 6
Berlin, D-10099
Germany

Xiamen University - Wang Yanan Institute for Studies in Economics (WISE) ( email )

A 307, Economics Building
Xiamen, Fujian 10246
China

Charles University ( email )

Celetná 13
Dept Math Physics
Praha 1, 116 36
Czech Republic

National Yang Ming Chiao Tung University ( email )

No. 1001, Daxue Rd. East Dist.
Hsinchu City 300093
Taiwan

Humboldt University of Berlin - Center for Applied Statistics and Economics (CASE)

Unter den Linden 6
Berlin, D-10099
Germany

Chen Huang

Aarhus University - Department of Economics and Business Economics ( email )

Fuglesangs Allé 4
Aarhus V, 8210
Denmark

Shih-Kang Chao

Humboldt University of Berlin - Center for Applied Statistics and Economics (CASE) ( email )

Spandauer Strasse 1
Berlin, D-10178
Germany

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