Expected Shortfall Regression for High-Dimensional Additive Models

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Note (General)：: 出版タイプ： VoRThis research is financially supported by JSPS KAKENHI Grant Number JP 24K14850 (HONDA) and Taiwan NSTC Grant Number 112-2122-M-007-001-MY3 ...

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Material Type: 規格・テクニカルリポート類
Title: Expected Shortfall Regression for High-Dimensional Additive Models
Author/Editor: 本田, 敏雄
PENG, Po-Hsiang
Author Heading: 本田, 敏雄
https://nrid.nii.ac.jp/nrid/1000030261754/
PENG, Po-Hsiang
Publication, Distribution, etc.: Graduate School of Economics, Hitotsubashi University
Publication Date: 2025-02
Publication Date (W3CDTF): 2025-02
Text Language Code: eng
Subject Heading: expected shortfall
quantile regression
group Lasso
group SCAD
B-spline basis
additive models
Target Audience: 一般
Note (General): 出版タイプ： VoR
This research is financially supported by JSPS KAKENHI Grant Number JP 24K14850 (HONDA) and Taiwan NSTC Grant Number 112-2122-M-007-001-MY3 (PENG).
Format (IMT): application/pdf
Source: fulltext
https://hermes-ir.lib.hit-u.ac.jp/hermes/ir/re/85066/070econDP25-01.pdf
Access Restrictions: インターネット公開
Periodical Title: Discussion papers ; No. 2025-01
Data Provider (Database): 国立情報学研究所 : 学術機関リポジトリデータベース（IRDB）（機関リポジトリ）
https://irdb.nii.ac.jp
Original Data Provider (Database): 一橋大学 : HERMES-IR(一橋大学機関リポジトリ) : Research & Education Resources