2 papers
stat.ME2026
Expected Shortfall Regression via Optimization
Yuanzhi Li, Shushu Zhang, Xuming He
To provide a comprehensive summary of the tail distribution, the expected shortfall is defined as the average over the tail above (or below) a certain quantile of the distribution.…
stat.ME2021
Posterior Inference for Quantile Regression: Adaptation to Sparsity
Yuanzhi Li, Xuming He
Quantile regression is a powerful data analysis tool that accommodates heterogeneous covariate-response relationships. We find that by coupling the asymmetric Laplace working likel…