Learning Rates for Kernel-Based Expectile Regression

Abstract: Conditional expectiles are becoming an increasingly important tool in finance as well as in other areas of applications. We analyse a support vector machine type approach for estimating conditional expectiles and establish learning rates that are minimax optimal modulo a logarithmic factor if Gaussian RBF kernels are used and the desired expectile is smooth in a Besov sense. As a special case, our learning rates improve the best known rates for kernel-based least squares regression in this scenario. Key ingredients of our statistical analysis are a general calibration inequality for the asymmetric least squares loss, a corresponding variance bound as well as an improved entropy number bound for Gaussian RBF kernels.