{"title":"大规模时间序列数据中条件期望函数的非参数推理。","authors":"Feipeng Zhang, Ping-Shou Zhong","doi":"10.1111/jtsa.70021","DOIUrl":null,"url":null,"abstract":"<p>Expectile is a coherent and elicitable law-invariant risk measure widely applied in risk management. Existing methods based on iteratively reweighted least squares (IWLS) are not computationally efficient for large-scale sample sizes. To overcome the issue, we develop a direct nonparametric conditional expectile function estimator by inverting the local polynomial estimator of the conditional loss-gain function. The proposed estimator is computationally friendly and stable without using iterative algorithms that require computation with large-scale data in each iteration. We establish the asymptotic distribution of the proposed estimator. We further show that the proposed estimator has a smaller variance than the existing IWLS estimator and a smaller mean square error in various scenarios. Simulations confirm the computational and statistical efficiency of the proposed method. We further apply the proposed methods to an S&P500 data set to illustrate the computational time to estimate the conditional expectile-based value-at-risk (EVaR) and the precision in out-of-sample prediction.</p>","PeriodicalId":49973,"journal":{"name":"Journal of Time Series Analysis","volume":"47 6","pages":"1098-1112"},"PeriodicalIF":1.2000,"publicationDate":"2026-10-12","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://www.ncbi.nlm.nih.gov/pmc/articles/PMC13564231/pdf/","citationCount":"0","resultStr":"{\"title\":\"Nonparametric Inference of Conditional Expectile Functions in Large-Scale Time Series Data With Improved Efficiency\",\"authors\":\"Feipeng Zhang, Ping-Shou Zhong\",\"doi\":\"10.1111/jtsa.70021\",\"DOIUrl\":null,\"url\":null,\"abstract\":\"<p>Expectile is a coherent and elicitable law-invariant risk measure widely applied in risk management. Existing methods based on iteratively reweighted least squares (IWLS) are not computationally efficient for large-scale sample sizes. To overcome the issue, we develop a direct nonparametric conditional expectile function estimator by inverting the local polynomial estimator of the conditional loss-gain function. The proposed estimator is computationally friendly and stable without using iterative algorithms that require computation with large-scale data in each iteration. We establish the asymptotic distribution of the proposed estimator. We further show that the proposed estimator has a smaller variance than the existing IWLS estimator and a smaller mean square error in various scenarios. Simulations confirm the computational and statistical efficiency of the proposed method. We further apply the proposed methods to an S&P500 data set to illustrate the computational time to estimate the conditional expectile-based value-at-risk (EVaR) and the precision in out-of-sample prediction.</p>\",\"PeriodicalId\":49973,\"journal\":{\"name\":\"Journal of Time Series Analysis\",\"volume\":\"47 6\",\"pages\":\"1098-1112\"},\"PeriodicalIF\":1.2000,\"publicationDate\":\"2026-10-12\",\"publicationTypes\":\"Journal Article\",\"fieldsOfStudy\":null,\"isOpenAccess\":false,\"openAccessPdf\":\"https://www.ncbi.nlm.nih.gov/pmc/articles/PMC13564231/pdf/\",\"citationCount\":\"0\",\"resultStr\":null,\"platform\":\"Semanticscholar\",\"paperid\":null,\"PeriodicalName\":\"Journal of Time Series Analysis\",\"FirstCategoryId\":\"100\",\"ListUrlMain\":\"https://onlinelibrary.wiley.com/doi/10.1111/jtsa.70021\",\"RegionNum\":4,\"RegionCategory\":\"数学\",\"ArticlePicture\":[],\"TitleCN\":null,\"AbstractTextCN\":null,\"PMCID\":null,\"EPubDate\":\"2025/10/8 0:00:00\",\"PubModel\":\"Epub\",\"JCR\":\"Q3\",\"JCRName\":\"MATHEMATICS, INTERDISCIPLINARY APPLICATIONS\",\"Score\":null,\"Total\":0}","platform":"Semanticscholar","paperid":null,"PeriodicalName":"Journal of Time Series Analysis","FirstCategoryId":"100","ListUrlMain":"https://onlinelibrary.wiley.com/doi/10.1111/jtsa.70021","RegionNum":4,"RegionCategory":"数学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"2025/10/8 0:00:00","PubModel":"Epub","JCR":"Q3","JCRName":"MATHEMATICS, INTERDISCIPLINARY APPLICATIONS","Score":null,"Total":0}
Nonparametric Inference of Conditional Expectile Functions in Large-Scale Time Series Data With Improved Efficiency
Expectile is a coherent and elicitable law-invariant risk measure widely applied in risk management. Existing methods based on iteratively reweighted least squares (IWLS) are not computationally efficient for large-scale sample sizes. To overcome the issue, we develop a direct nonparametric conditional expectile function estimator by inverting the local polynomial estimator of the conditional loss-gain function. The proposed estimator is computationally friendly and stable without using iterative algorithms that require computation with large-scale data in each iteration. We establish the asymptotic distribution of the proposed estimator. We further show that the proposed estimator has a smaller variance than the existing IWLS estimator and a smaller mean square error in various scenarios. Simulations confirm the computational and statistical efficiency of the proposed method. We further apply the proposed methods to an S&P500 data set to illustrate the computational time to estimate the conditional expectile-based value-at-risk (EVaR) and the precision in out-of-sample prediction.
期刊介绍:
During the last 30 years Time Series Analysis has become one of the most important and widely used branches of Mathematical Statistics. Its fields of application range from neurophysiology to astrophysics and it covers such well-known areas as economic forecasting, study of biological data, control systems, signal processing and communications and vibrations engineering.
The Journal of Time Series Analysis started in 1980, has since become the leading journal in its field, publishing papers on both fundamental theory and applications, as well as review papers dealing with recent advances in major areas of the subject and short communications on theoretical developments. The editorial board consists of many of the world''s leading experts in Time Series Analysis.