locpolExpectile

Provides the local polynomial expectile regression method and different bandwidth selection procedures. The codes include local polynomial univariate expectile regression with several data-driven methods for bandwidth selection; local linear bivariate and trivariate expectile regression; and partially linear expectile regression, allowing for different errors structures (homoscedastic error and various heteroscedastic error structures). For more details, see Adam and Gijbels (2021a) doi:10.1007/s10463-021-00799-y and Adam and Gijbels (2021b) doi:10.1007/978-3-030-73249-3_8.