Download This PaperFactorisable Sparse Tail Event Curves with Expectiles
SFB 649 Discussion Paper 2016-018, Economic Risk, Berlin
6 Pages Posted: 27 Jun 2016
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: 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
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