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math.ST2019★ 1 cited
Robust Estimation and Shrinkage in Ultrahigh Dimensional Expectile Regression with Heavy Tails and Variance Heterogeneity
Jun Zhao, Guan'ao Yan, Yi Zhang
High-dimensional data subject to heavy-tailed phenomena and heterogeneity are commonly encountered in various scientific fields and bring new challenges to the classical statistica…
math.ST2019
Semiparametric Expectile Regression for High-dimensional Heavy-tailed and Heterogeneous Data
Jun Zhao, Guan'ao Yan, Yi Zhang
Recently, high-dimensional heterogeneous data have attracted a lot of attention and discussion. Under heterogeneity, semiparametric regression is a popular choice to model data in…
math.ST2018
Conditional Tail-Related Risk Estimation Using Composite Asymmetric Least Squares and Empirical Likelihood
Sheng Wu, Yi Zhang, Jun Zhao +1
In this article, by using composite asymmetric least squares (CALS) and empirical likelihood, we propose a two-step procedure to estimate the conditional value at risk (VaR) and co…