Abstract:A bent line expectile regression model can describe the effect of a covariate on the response variable with two different straight lines, which intersect at an unknown change-point. Due to the existence of the change-point, the objective function of the model is not differentiable with respect to the change-point, so it cannot be solved by the method of the traditional linear expectile regression model. For this model, a new estimation method is proposed by a smoothing technique, that is, using Gaussian kernel… Show more
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