18 citations · 28 across the 8 of their papers we have counts for
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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…
math.ST2022★ 2 cited
Scalable estimation and inference for censored quantile regression process
Xuming He, Xiaoou Pan, Kean Ming Tan +1
Censored quantile regression (CQR) has become a valuable tool to study the heterogeneous association between a possibly censored outcome and a set of covariates, yet computation an…