expectreg_loclin_trivariate {locpolExpectile}

Local linear expectile regression (iterative procedure) for a trivariate covariate case

Description

Formula interface for the local linear expectile estimation for a trivariate covariate setting.

Usage

expectreg_loclin_trivariate(Z, X1, X2, Y, omega, h, kernel = gaussK)

Arguments

Z

The first covariate data values.

X1

The second covariate data values.

X2

The third covariate data values.

Y

The response data values.

omega

Numeric vector of level between 0 and 1 where 0.5 corresponds to the mean.

h

Smoothing parameter, bandwidth.

kernel

The kernel used to perform the estimation. In default setting, kernel=gaussK. See details in Kernels.

Value

expectreg_loclin_trivariate local linear expectile estimator proposed and studied by Adam and Gijbels (2021b) for a trivariate covariate matrix. expectreg_loclin_trivariate returns a vector whose components are the estimation of the nonparametric part according to the observed values (i.e. (Z_i,X_{1i},X_{2i})).

References

Adam, C. and Gijbels, I. (2021b). Partially linear expectile regression using local polynomial fitting. In Advances in Contemporary Statistics and Econometrics: Festschrift in Honor of Christine Thomas-Agnan, Chapter 8, pages 139–160. Springer, New York.