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Various estimators have been proposed to estimate conditional expectiles, including those from the multiple linear expectile regression, local polynomial expectile regression, boosted expectile regression, and so on. It is common practice that several plausible candidate estimators are fitted and a final estimator is selected from the candidate list. In this article, we advocate the use of an exponential weighting scheme to adaptively aggregate the candidate estimators into a final estimator.doi:10.5705/ss.202016.0285 fatcat:t635az4p4zfgrgb2hnl2fsqaya