Functional Ergodic Time Series Analysis Using Expectile Regression

被引:4
|
作者
Alshahrani, Fatimah [1 ]
Almanjahie, Ibrahim M. [2 ,3 ]
Elmezouar, Zouaoui Chikr [2 ]
Kaid, Zoulikha [2 ]
Laksaci, Ali [2 ]
Rachdi, Mustapha [4 ]
机构
[1] Princess Nourah Bint Abdulrahman Univ, Coll Sci, Dept Math Sci, Riyadh 11671, Saudi Arabia
[2] King Khalid Univ, Coll Sci, Dept Math, Abha 62529, Saudi Arabia
[3] King Khalid Univ, Stat Res & Studies Support Unit, Abha 62529, Saudi Arabia
[4] Univ Grenoble Alpes France, Lab AGEIS, UFR SHS, EA 7407,AGIM Team,BP 47, F-38040 Grenoble 09, France
关键词
functional ergodic data; recursive estimator; complete convergence (a; co; expectile function; kernel method; bandwidth parameter; financial risk management; ASYMPTOTIC NORMALITY; CONSISTENCY; QUANTILES;
D O I
10.3390/math10203919
中图分类号
O1 [数学];
学科分类号
0701 ; 070101 ;
摘要
In this article, we study the problem of the recursive estimator of the expectile regression of a scalar variable Y given a random variable X that belongs in functional space. We construct a new estimator and study the asymptotic properties over a general functional time structure. Precisely, the strong consistency of this estimator is established, considering that the sampled observations are taken from an ergodic functional process. Next, a simulation experiment is conducted to highlight the great impact of the constructed estimator as well as the ergodic functional time series data. Finally, a real data analysis is used to demonstrate the superiority of the constructed estimator.
引用
收藏
页数:17
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