Abstract

The methodology for the inference problem in high-dimensional linear expectile regression is developed. By transforming the expectile loss into a weighted-least-squares form and applying a de-biasing strategy, Wald-type tests for multiple constraints within a regularized framework are established. An estimator for the pseudo-inverse of the generalized Hessian matrix in high dimension is constructed using general amenable regularizers, including Lasso and SCAD, with its consistency demonstrated through a novel proof technique. Simulation studies and real data applications demonstrate the efficacy of the proposed test statistic in both homoscedastic and heteroscedastic scenarios.

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