An SVM-like approach for expectile regression

A new GEE method to account for heteroscedasticity using asymmetric least-square regressions

Generalized estimating equations ( G E E ) are widely used to analyze longitudinal data; however, they are not appropriate for heteroscedastic data, because they only estimate regressor effects on the mean response - and therefore do not account for data heterogeneity. Here, we combine the G E E with the asymmetric least squares (expectile) regression to derive a new class of estimators, which we call generalized expectile estimating equations ( G E E E ) . The G E E E model estimates regressor effects on the expectiles of the response distribution, which provides a detailed view of regressor effects on the entire response distribution. In addition to capturing data heteroscedasticity, the GEEE extends the various working correlation structures to account for within-subject dependence. We derive the asymptotic properties of the G E E E estimators and propose a robust estimator of its covariance matrix for inference (see our R package, github.com/AmBarry/expectgee). Our simulations show that the GEEE estimator is non-biased and efficient, and our real data analysis shows it captures heteroscedasticity.

Computing Expectiles Using k-Nearest Neighbours Approach

Expectiles have gained considerable attention in recent years due to wide applications in many areas. In this study, the k-nearest neighbours approach, together with the asymmetric least squares loss function, called ex-kNN, is proposed for computing expectiles. Firstly, the effect of various distance measures on ex-kNN in terms of test error and computational time is evaluated. It is found that Canberra, Lorentzian, and Soergel distance measures lead to minimum test error, whereas Euclidean, Canberra, and Average of (L1,L∞) lead to a low computational cost. Secondly, the performance of ex-kNN is compared with existing packages er-boost and ex-svm for computing expectiles that are based on nine real life examples. Depending on the nature of data, the ex-kNN showed two to 10 times better performance than er-boost and comparable performance with ex-svm regarding test error. Computationally, the ex-kNN is found two to five times faster than ex-svm and much faster than er-boost, particularly, in the case of high dimensional data.