Limit Theory for Online Expectile Estimation under Short and Long Range Dependence
Expectiles are tail-sensitive distributional summaries with important applications in financial risk measurement and forecasting, yet statistical theory for their online estimation from dependent data remains limited. We study a one-pass, stochastic-gradient algorithm with constant learning rate $\gamma$ for estimating...
Younghun Lee, Jake Zummo, Wei-Biao Wu
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