D-vine copula based quantile regression
From MaRDI portal
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.
Recommendations
- Nonparametric C- and D-vine-based quantile regression
- A copula-based quantile model
- Vine copula regression for observational studies
- Copula-based quantile regression for longitudinal data
- Copula-based nonlinear quantile autoregression
- A quantile-copula approach to conditional density estimation
- On copula-based conditional quantile estimators
- Mixture of D-vine copulas for modeling dependence
- Flexible pair-copula estimation in D-vines using bivariate penalized splines
- Prediction via the quantile-copula conditional density estimator
Cites work
- scientific article; zbMATH DE number 986136 (Why is no real title available?)
- scientific article; zbMATH DE number 3163305 (Why is no real title available?)
- scientific article; zbMATH DE number 1134711 (Why is no real title available?)
- Additive models for quantile regression: model selection and confidence bands
- Comment on ``Local quantile regression
- Conditional copula simulation for systemic risk stress testing
- Conditional quantile estimation for generalized autoregressive conditional heteroscedasticity models
- Conditional quantiles and tail dependence
- Copula-Based Regression Estimation and Inference
- Copula-based nonlinear quantile autoregression
- Evading the curse of dimensionality in nonparametric density estimation with simplified vine copulas
- Examination and visualisation of the simplifying assumption for vine copulas in three dimensions
- Identifying Risk Factors for Severe Childhood Malnutrition by Boosting Additive Quantile Regression
- Local quantile regression
- Model distances for vine copulas in high dimensions
- Multivariate T-Distributions and Their Applications
- Non-parametric smoothed estimation of multivariate cumulative distribution and survival functions, and receiver operating characteristic curves
- On Estimation of a Probability Density Function and Mode
- On the simplified pair-copula construction -- simply useful or too simplistic?
- Pair-copula constructions of multiple dependence
- Quantile regression forests
- Quantile regression.
- Regression Quantiles
- Simplified pair copula constructions -- limitations and extensions
- Single-index quantile regression
- Some comments on copula-based regression
- Statistical Analysis of Financial Data in S-Plus
- The skew-normal and related families. With the collaboration of Antonella Capitanio.
- UNIFORM CONVERGENCE RATES FOR KERNEL ESTIMATION WITH DEPENDENT DATA
- Vines -- a new graphical model for dependent random variables.
Cited in
(29)- Nonparametric modal regression with mixed variables and application to analyze the GDP data
- Simplified R-vine based forward regression
- Prediction based on conditional distributions of vine copulas
- Solving Estimating Equations With Copulas
- Model distances for vine copulas in high dimensions
- Robust optimization of mixed CVaR STARR ratio using copulas
- A copula-based quantile model
- On classification with nonignorable missing data
- Vine copula regression for observational studies
- Bayesian variable selection for non‐Gaussian responses: a marginally calibrated copula approach
- On copula-based conditional quantile estimators
- Nonparametric C- and D-vine-based quantile regression
- Copulae: an overview and recent developments
- vinereg
- Copula deep learning control chart for multivariate zero inflated count response variables
- Single-index composite quantile regression for ultra-high-dimensional data
- Portfolio selection via D-vine copula-quantile regression method
- Single-index composite quantile regression for massive data
- Semi-parametric copula-based models under non-stationarity
- Copula-based link functions in binary regression models
- Evading the curse of dimensionality in nonparametric density estimation with simplified vine copulas
- A Time-Heterogeneous D-Vine Copula Model for Unbalanced and Unequally Spaced Longitudinal Data
- Predicting times to event based on vine copula models
- Modelling credit card exposure at default using vine copula quantile regression
- Flexible pair-copula estimation in D-vines using bivariate penalized splines
- Dependence properties of conditional distributions of some copula models
- High-Dimensional Spatial Quantile Function-on-Scalar Regression
- Copula-based regression models with data missing at random
- Data driven value-at-risk forecasting using a SVR-GARCH-KDE hybrid
This page was built for publication: D-vine copula based quantile regression
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q112600)
