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stat.ME2022
Robust Estimation and Inference for Expected Shortfall Regression with Many Regressors
Xuming He, Kean Ming Tan, Wen-Xin Zhou
Expected Shortfall (ES), also known as superquantile or Conditional Value-at-Risk, has been recognized as an important measure in risk analysis and stochastic optimization, and is…
stat.ME2022★ 1 cited
Retire: Robust Expectile Regression in High Dimensions
Rebeka Man, Kean Ming Tan, Zian Wang +1
High-dimensional data can often display heterogeneity due to heteroscedastic variance or inhomogeneous covariate effects. Penalized quantile and expectile regression methods offer…