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Can I read Optimal Expectile Smoothing on EtoBox?
Optimal Expectile Smoothing by Sabine K. Schnabel; Paul H.C. Eilers is a Mathematics article available to read on EtoBox.
What is Optimal Expectile Smoothing about?
Quantiles are computed by optimizing an asymmetrically weighted L 1 norm, i.e. the sum of absolute values of residuals. Expectiles are obtained in a similar way when using an L 2 norm, i.e. the sum of squares. Computation is extremely simple: weighted regression leads to the global minimum in a handful of iterations. Least asymmetrically weighted squares are combined with P-splines to compute smooth expectile curves. Asymmetric cross-validation and the Schall algorithm for mixed models allow efficient optimization of the smoothing parameter. Performance is illustrated on simulated and empirical data.
Who reads Optimal Expectile Smoothing?
It is typically read by researchers, students, and practitioners in Mathematics.
- Author
- Sabine K. Schnabel; Paul H.C. Eilers
- Publisher
- Elsevier Science; Elsevier ; Elsevier BV (ISSN 0167-9473)
- Published
- 2009
- Language
- EN
- Field
- Mathematics (Physical Sciences)