Humboldt-Universität zu Berlin - High Dimensional Nonstationary Time Series

Factorisable Sparse Tail Event Curves with Expectiles

Wolfgang K. Härdle
Chen Huang
Shih-Kang Chao

Abstract:
Oberwolfach Report: New Developments in Functional and Highly Multivariate
Statistical Methodology

Keywords:
multivariate functional data, high-dimensional M-estimators, nuclear norm regularizer, factor analysis, expectile regression, fMRI, risk perception

JEL Classification:
C38, C55, C61, C91, D87