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Computing expectiles via fixed point iterations

Ha Thi Khanh Linh et al.

Statistics & Probability Letters2026https://doi.org/10.1016/j.spl.2026.110760article
AJG 2ABDC B
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0.50

What the paper says

Expectiles are statistical parameters which also provide a class of sublinear financial risk measures. They are solutions of continuous optimization problems. The corresponding first order condition provides two different fixed point characterizations for expectiles, both of which can be utilized for computing them. Although especially the so-called two-sided version is already implemented and widely used, a general convergence proof appears to be new. Finite termination conditions for sample versions are also given.

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https://doi.org/https://doi.org/10.1016/j.spl.2026.110760

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@article{ha2026,
  title        = {{Computing expectiles via fixed point iterations}},
  author       = {Ha Thi Khanh Linh et al.},
  journal      = {Statistics & Probability Letters},
  year         = {2026},
  doi          = {https://doi.org/https://doi.org/10.1016/j.spl.2026.110760},
}

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Computing expectiles via fixed point iterations

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0.50

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F · citation impact0.50 × 0.4 = 0.20
M · momentum0.50 × 0.15 = 0.07
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