D-vine copula based quantile regression
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Computational methods for problems pertaining to statistics (62-08) Nonparametric regression and quantile regression (62G08) Characterization and structure theory for multivariate probability distributions; copulas (62H05) Applications of statistics to actuarial sciences and financial mathematics (62P05)
Abstract: Quantile regression, that is the prediction of conditional quantiles, has steadily gained importance in statistical modeling and financial applications. The authors introduce a new semiparametric quantile regression method based on sequentially fitting a likelihood optimal D-vine copula to given data resulting in highly flexible models with easily extractable conditional quantiles. As a subclass of regular vine copulas, D-vines enable the modeling of multivariate copulas in terms of bivariate building blocks, a so-called pair-copula construction (PCC). The proposed algorithm works fast and accurate even in high dimensions and incorporates an automatic variable selection by maximizing the conditional log-likelihood. Further, typical issues of quantile regression such as quantile crossing or transformations, interactions and collinearity of variables are automatically taken care of. In a simulation study the improved accuracy and saved computational time of the approach in comparison with established quantile regression methods is highlighted. An extensive financial application to international credit default swap (CDS) data including stress testing and Value-at-Risk (VaR) prediction demonstrates the usefulness of the proposed method.
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Cited in
(40)- Semi-parametric copula-based models under non-stationarity
- Dependence properties of conditional distributions of some copula models
- Robust optimization of mixed CVaR STARR ratio using copulas
- Model distances for vine copulas in high dimensions
- Prediction based on conditional distributions of vine copulas
- On classification with nonignorable missing data
- Single-index composite quantile regression for ultra-high-dimensional data
- Copula-based regression models with data missing at random
- Single-index composite quantile regression for massive data
- Data driven value-at-risk forecasting using a SVR-GARCH-KDE hybrid
- Vine copula regression for observational studies
- On copula-based conditional quantile estimators
- Flexible pair-copula estimation in D-vines using bivariate penalized splines
- Nonparametric C- and D-vine-based quantile regression
- Predicting times to event based on vine copula models
- vinereg
- A copula-based quantile model
- Portfolio selection via D-vine copula-quantile regression method
- High-Dimensional Spatial Quantile Function-on-Scalar Regression
- Bayesian variable selection for non‐Gaussian responses: a marginally calibrated copula approach
- A Time-Heterogeneous D-Vine Copula Model for Unbalanced and Unequally Spaced Longitudinal Data
- Copula-based link functions in binary regression models
- Modelling credit card exposure at default using vine copula quantile regression
- Nonparametric modal regression with mixed variables and application to analyze the GDP data
- Solving Estimating Equations With Copulas
- Copulae: an overview and recent developments
- Copula deep learning control chart for multivariate zero inflated count response variables
- Vine copula MFPCA residual control chart for sparse multivariate functional data
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- An application of vine-based regression to flight landing data
- Vine copula based structural equation models
- Sampling from conditional distributions of simplified vines
- Multivariate copula-based conditional quantiles: analytic higher-order moments and ratio estimation approaches
- Bayesian quantile regression for partially linear single-index model with longitudinal data
- Semiparametric and parametric distributional forecasting of univariate time series using non-Gaussian ARMA models based on D-vines
- On multivariate binary outcomes copulas-regression problem
- Copulas and deep learning: a review
- Interval-conditioned quantiles of bivariate copulas
- Simplified R-vine based forward regression
- Evading the curse of dimensionality in nonparametric density estimation with simplified vine copulas
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