Air pollution control has always been a global challenge, and significant progress has been made in recent years in controlling air pollutants. However, in some major cities, air pollutant concentrations still exceed ...Air pollution control has always been a global challenge, and significant progress has been made in recent years in controlling air pollutants. However, in some major cities, air pollutant concentrations still exceed the standards. Some scholars have used linear models or conditional autoregressive iterative models to apply the VaR method to predict pollutant concentrations. However, traditional methods based on quantile regression estimation can lead to inadequate risk estimates. Therefore, we propose a method based on the Conditional Autoregressive Value at Risk (CAViaR) model, which uses the kth power expectile regression to estimate VaR. This method does not specify the type of the distribution of data, is easier to calculate the asymptotic variance, more sensitive to extreme values. Applying our method to the data of PM10 in Beijing, we investigate the fitting effects in the case of k = 1, k = 2, and k = 1.9 through predictive tests. The results show that the kth power expectile regression estimates are better than quantile and expectile regression estimates to some extent.展开更多
This paper develops the theory of the kth power expectile estimation and considers its relevant hypothesis tests for coefficients of linear regression models.We prove that the asymptotic covariance matrix of kth power...This paper develops the theory of the kth power expectile estimation and considers its relevant hypothesis tests for coefficients of linear regression models.We prove that the asymptotic covariance matrix of kth power expectile regression converges to that of quantile regression as k converges to one and hence promise a moment estimator of asymptotic matrix of quantile regression.The kth power expectile regression is then utilized to test for homoskedasticity and conditional symmetry of the data.Detailed comparisons of the local power among the kth power expectile regression tests,the quantile regression test,and the expectile regression test have been provided.When the underlying distribution is not standard normal,results show that the optimal k are often larger than 1 and smaller than 2,which suggests the general kth power expectile regression is necessary.Finally,the methods are illustrated by a real example.展开更多
文摘Air pollution control has always been a global challenge, and significant progress has been made in recent years in controlling air pollutants. However, in some major cities, air pollutant concentrations still exceed the standards. Some scholars have used linear models or conditional autoregressive iterative models to apply the VaR method to predict pollutant concentrations. However, traditional methods based on quantile regression estimation can lead to inadequate risk estimates. Therefore, we propose a method based on the Conditional Autoregressive Value at Risk (CAViaR) model, which uses the kth power expectile regression to estimate VaR. This method does not specify the type of the distribution of data, is easier to calculate the asymptotic variance, more sensitive to extreme values. Applying our method to the data of PM10 in Beijing, we investigate the fitting effects in the case of k = 1, k = 2, and k = 1.9 through predictive tests. The results show that the kth power expectile regression estimates are better than quantile and expectile regression estimates to some extent.
文摘This paper develops the theory of the kth power expectile estimation and considers its relevant hypothesis tests for coefficients of linear regression models.We prove that the asymptotic covariance matrix of kth power expectile regression converges to that of quantile regression as k converges to one and hence promise a moment estimator of asymptotic matrix of quantile regression.The kth power expectile regression is then utilized to test for homoskedasticity and conditional symmetry of the data.Detailed comparisons of the local power among the kth power expectile regression tests,the quantile regression test,and the expectile regression test have been provided.When the underlying distribution is not standard normal,results show that the optimal k are often larger than 1 and smaller than 2,which suggests the general kth power expectile regression is necessary.Finally,the methods are illustrated by a real example.
