h_GenROT_with {locpolExpectile}

Rule-of-Thumb bandwidth selectors in a location-scale setting using the one-to-one mapping

Description

Rule-of-Thumb bandwidth selector for the expectile regression in a location-scale setting using the one-to-one mapping. The weight function is chosen to be equal to the indicator function on [min(X_i)+0.1,max(X_i)-0.1].

Usage

h_GenROT_with(X, Y, j = 0, p = 1, kernel = gaussK, omega)

Arguments

X

The covariate data values.

Y

The response data values.

j

The order of derivative to estimate. In default setting, j=0.

p

The order of the local polynomial estimator. In default setting, p=1.

kernel

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

omega

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

Value

h_GenROT_with provides the Rule-of-Thumb bandwidth selector in a location-scale setting using the one-to-one mapping for univariate expectile regression proposed by Adam and Gijbels (2021a).

References

Adam, C. and Gijbels, I. (2021a). Local polynomial expectile regression. Annals of the Institute of Statistical Mathematics doi:10.1007/s10463-021-00799-y.

Examples

library(locpol)
data(mcycle)
y=mcycle$accel
x=mcycle$times

h=h_GenROT_with(X=x,Y=y,j=0,p=1,kernel=gaussK,omega=0.1)
#h=1.886125