A location‐scale model for non‐crossing expectile curves. Issue 1 (15th August 2013)

• Record Type: Journal Article
• Authors: Schnabel, Sabine K.; Eilers, Paul H.C.
• Is Part Of: Stat. Volume 2:Issue 1(2013)
• Page Start: 171
• Page End: 183
• Publication Date: 2013-08-15
• Subjects: density estimation -- expectiles -- location‐scale model -- P‐splines; Statistics -- Periodicals; 519.2
• DOI: 10.1002/sta4.27
• Languages: English
• ISSNs: 2049-1573

Abstract

Abstract : In quantile smoothing, crossing of the estimated curves is a common nuisance, in particular with small data sets and dense sets of quantiles. Similar problems arise in expectile smoothing. We propose a novel method to avoid crossings. It is based on a location‐scale model for expectiles and estimates all expectile curves simultaneously in a bundle using iterative least asymmetrically weighted squares. In addition, we show how to estimate a density non‐parametrically from a set of expectiles. The model is applied to two data sets. Copyright © 2013 John Wiley & Sons Ltd