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We propose to include a response function between the fitted value and the predictor similarly as in generalized linear models. However, including a fixed response function would imply an assumption on the shape of the underlying distribution function. Such assumptions would be counterintuitive in expectile regression. Therefore, we propose to estimate the response function jointly with the covariate effects. We design the response function as a monotonically increasing P-spline, which may also contain constraints on the target set. Thi
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