expectiles, M-quantile Regression, Asymmetric Least Squares
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josef...@gmail.com
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Aug 31, 2016, 2:15:34 PM8/31/16
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to pystatsmodels
All we need is a new asymmetric RobustNorm, and we can get the
M-estimator analog of quantile regression, asymmetric LS and
M-quantiles.
as a quick check:
The plot compares QuantileRegression with M-Quantile regression using
asymmetric HuberT norm as a local differentiable or smooth
approximation to the "check" function.
(Expectiles and M-quantiles seem to become popular in finance and
other fields for risk analysis. The regression just penalizes positive
and negative residuals with different weights.)