Robust estimation and shrinkage in ultrahigh dimensional expectile regression with heavy tails and variance heterogeneity

Expectile regression for analyzing heteroscedasticity in high dimension

(2018) Jun Zhao et al.   STATISTICS & PROBABILITY LETTERS

High-dimensional generalizations of asymmetric least squares regression and their applications

(2016) Yuwen Gu et al.   ANNALS OF STATISTICS

Nonlinear expectile regression with application to Value-at-Risk and expected shortfall estimation

(2016) Minjo Kim et al.   COMPUTATIONAL STATISTICS & DATA ANALYSIS

Estimation of high dimensional mean regression in the absence of symmetry and light tail assumptions

(2016) Jianqing Fan et al.   JOURNAL OF THE ROYAL STATISTICAL SOCIETY SERIES B-STATISTICAL METHODOLOGY

Robust variable selection in high-dimensional varying coefficient models based on weighted composite quantile regression

(2015) Chaohui Guo et al.   STATISTICAL PAPERS

Strong oracle optimality of folded concave penalized estimation

(2014) Jianqing Fan et al.   ANNALS OF STATISTICS

COHERENCE AND ELICITABILITY

(2014) Johanna F. Ziegel   MATHEMATICAL FINANCE

Expectile and quantile regression—David and Goliath?

(2014) Linda Schulze Waltrup et al.   STATISTICAL MODELLING

Fast global convergence of gradient methods for high-dimensional statistical recovery

(2013) Alekh Agarwal et al.   ANNALS OF STATISTICS

Quantile Regression for Analyzing Heterogeneity in Ultra-High Dimension

(2012) Lan Wang et al.   JOURNAL OF THE AMERICAN STATISTICAL ASSOCIATION

Activated TLR Signaling in Atherosclerosis among Women with Lower Framingham Risk Score: The Multi-Ethnic Study of Atherosclerosis

(2011) Chiang-Ching Huang et al.   PLoS One

Nearly unbiased variable selection under minimax concave penalty

(2010) Cun-Hui Zhang   ANNALS OF STATISTICS

Geoadditive expectile regression

(2010) Fabian Sobotka et al.   COMPUTATIONAL STATISTICS & DATA ANALYSIS

Quantiles, expectiles and splines

(2009) Giuliano De Rossi et al.   JOURNAL OF ECONOMETRICS

One-step sparse estimates in nonconcave penalized likelihood models

(2008) Hui Zou et al.   ANNALS OF STATISTICS