基于线性化技术的线性-二次Expectile回归模型的估计
Estimation of Linear-quadratic Expectile Regression Model via Linearization Technique
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摘要: 线性-二次Expectile回归模型的函数由一条直线和一条二次曲线在变点处相交而成,该模型不仅可以灵活捕捉数据中的变点效应,还能通过尾部期望提供响应变量分布的全貌.由于变点的存在,使得不能直接由传统的优化方法获得模型的变点和其它参数的估计.文章基于线性化技巧提出一种新的估计方法,能够同时得到变点参数和其它参数的估计,该估计算法容易理解且易于实现.所提估计量的理论性质很容易从现有的理论推导得到.大量的数值模拟结果表明估计方法具有良好的有效性和稳健性.人口预期寿命与人均GDP数据的实证分析也验证了所提模型和方法的可行性和实用性.Abstract: The linear-quadratic expected regression model, which consisted of a straight line and a quadratic curve intersecting at a change point, could not only capture the change point effect in data, but also provide a complete picture of the response variance through tail expectation. Estimating the change point and other parameters of the model was not easy and directly by traditional optimization methods due to the existence of the change point. This article proposed a new estimation method via a linearization technique to estimate the regression coefficients and the change point simultaneously. Statistical inferences of the proposed estimators are easily derived from the existing theory. Numerical simulations show that the estimation has good validity and robustness, and empirical research on the life expectancy at birth and gross domestic product (GDP) per capita data also demonstrates the model and method are feasible and practical.
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