Functional Ergodic Time Series Analysis Using Expectile Regression

oleh: Fatimah Alshahrani, Ibrahim M. Almanjahie, Zouaoui Chikr Elmezouar, Zoulikha Kaid, Ali Laksaci, Mustapha Rachdi

Format: Article
Diterbitkan: MDPI AG 2022-10-01

Deskripsi

In this article, we study the problem of the recursive estimator of the expectile regression of a scalar variable <i>Y</i> given a random variable <i>X</i> that belongs in functional space. We construct a new estimator and study the asymptotic properties over a general functional time structure. Precisely, the strong consistency of this estimator is established, considering that the sampled observations are taken from an ergodic functional process. Next, a simulation experiment is conducted to highlight the great impact of the constructed estimator as well as the ergodic functional time series data. Finally, a real data analysis is used to demonstrate the superiority of the constructed estimator.