Prediction based on conditional distributions of vine copulas

DOI10.1016/J.CSDA.2019.04.015OpenAlexW2952553869WikidataQ127851923 ScholiaQ127851923MaRDI QIDQ2002717

Bo Chang, Joe, Harry

Publication date: 12 July 2019

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

Full work available at URL: https://arxiv.org/abs/1807.08429

zbMATH Keywords

heteroscedasticityregressionconditional quantilesnonlinear conditional mean

Mathematics Subject Classification ID

Computational methods for problems pertaining to statistics (62-08) Characterization and structure theory for multivariate probability distributions; copulas (62H05)

Related Items (17)

Simplified R-vine based forward regression ⋮ A new class of copula regression models for modelling multivariate heavy-tailed data ⋮ Nonparametric C- and D-vine-based quantile regression ⋮ A heteroscedasticity diagnostic of a regression analysis with copula dependent random variables ⋮ Predicting times to event based on vine copula models ⋮ Bayesian ridge regression for survival data based on a vine copula-based prior ⋮ Copula-based link functions in binary regression models ⋮ Modelling credit card exposure at default using vine copula quantile regression ⋮ Gaussian copula regression modeling for marker classification metrics with competing risk outcomes ⋮ Copula-based regression models with data missing at random ⋮ Vine copula regression for observational studies ⋮ On the copula correlation ratio and its generalization ⋮ Explaining predictive models using Shapley values and non-parametric vine copulas ⋮ Factor tree copula models for item response data ⋮ Assessing copula models for mixed continuous-ordinal variables ⋮ Extremes and regular variation ⋮ Bayesian ridge estimators based on copula-based joint prior distributions for regression coefficients

Uses Software

• UCI-ml
• VineCopula
• ElemStatLearn
• CopulaModel

Cites Work

• Unnamed Item
• Pair-copula constructions of multiple dependence
• Selecting and estimating regular vine copulae and application to financial returns
• Evading the curse of dimensionality in nonparametric density estimation with simplified vine copulas
• D-vine copula based quantile regression
• Parsimonious parameterization of correlation matrices using truncated vines and factor analysis
• Vine copula based likelihood estimation of dependence patterns in multivariate event time data
• Comorbidity of chronic diseases in the elderly: patterns identified by a copula design for mixed responses
• Vines -- a new graphical model for dependent random variables.
• Model selection in sparse high-dimensional vine copula models with an application to portfolio risk
• Probability density decomposition for conditionally dependent random variables modeled by vines
• Conditional quantiles and tail dependence
• Dependence modelling in ultra high dimensions with vine copulas and the graphical Lasso
• Dependence Modeling with Copulas
• Truncated regular vines in high dimensions with application to financial data
• Strictly Proper Scoring Rules, Prediction, and Estimation
• Copula-Based Regression Estimation and Inference

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