Simplified R-vine based forward regression

DOI10.1016/J.CSDA.2020.107091OpenAlexW3088036072MaRDI QIDQ829728

Dorota Kurowicka, Kailun Zhu, Gabriela F. Nane

Publication date: 6 May 2021

Published in: Computational Statistics and Data Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.csda.2020.107091

zbMATH Keywords

stress testforward regressionregular vine copula

Mathematics Subject Classification ID

Statistics (62-XX)

Related Items (2)

Nonparametric C- and D-vine-based quantile regression ⋮ Modelling credit card exposure at default using vine copula quantile regression

Uses Software

• ks
• VineCopula
• CDVine
• pacotest

Cites Work

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• D-vine copula based quantile regression
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• On the simplified pair-copula construction -- simply useful or too simplistic?
• Vines -- a new graphical model for dependent random variables.
• Prediction based on conditional distributions of vine copulas
• Common sampling orders of regular vines with application to model selection
• Conditional copula simulation for systemic risk stress testing
• Sampling, conditionalizing, counting, merging, searching regular vines
• Estimation of a Conditional Copula and Association Measures
• Dependence Calibration in Conditional Copulas: A Nonparametric Approach
• Goodness of Fit and Related Inference Processes for Quantile Regression
• Copula-Based Regression Estimation and Inference

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