A regularized expectile regression for partially linear additive models recovers sparse linear effects and smooth nonlinear effects when errors have only finite moments.
J., Amemiya, T., and Poirier, D
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Semiparametric Expectile Regression for High-dimensional Heavy-tailed and Heterogeneous Data
A regularized expectile regression for partially linear additive models recovers sparse linear effects and smooth nonlinear effects when errors have only finite moments.