vinereg

swMATH31345CRANvineregMaRDI QIDQ43056

D-Vine Quantile Regression

Thomas Nagler

Last update: 9 February 2024

Software version identifier: 0.8.3, 0.2.0, 0.3.0, 0.5.0, 0.7.0, 0.7.1, 0.7.2, 0.7.3, 0.7.4, 0.8.0, 0.8.1, 0.8.2, 0.9.1, 0.9.2, 0.10.0

Source code repository: https://github.com/cran/vinereg

Copyright license: GNU General Public License, version 3.0

Description

Implements D-vine quantile regression models with parametric or nonparametric pair-copulas. See Kraus and Czado (2017) <doi:10.1016/j.csda.2016.12.009> and Schallhorn et al. (2017) <arXiv:1705.08310>.

Cites work

• D-vine copula based quantile regression
• D-vine quantile regression with discrete variables