Predictive assessment of copula models

DOI10.1002/CJS.11468MaRDI QIDQ5107569zbMATH OpenOpenAlexWikidataFDO

Authors Elif F. Acar, Parisa Azimaee, M.D. Erfanul Hoque

Publication date 28 April 2020

Published in The Canadian Journal of Statistics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1002/cjs.11468

zbMATH Keywords

conditional quantilescopula regressioncopula selectionprediction errorvine copulas

Mathematics Subject Classification ID

Characterization and structure theory for multivariate probability distributions; copulas (62H05)

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Cited in

(9)

• Prediction based on conditional distributions of vine copulas
• Explaining predictive models using Shapley values and non-parametric vine copulas
• Evaluation and prediction under hierarchical and bivariate copula models for seat belt use data
• A heteroscedasticity diagnostic of a regression analysis with copula dependent random variables
• Parametric and semiparametric approaches for copula-based regression estimation
• Copula-based estimation of causal effects in multiple linear and path analysis models
• Multivariate copula-based conditional quantiles: analytic higher-order moments and ratio estimation approaches
• A new copula regression model for hierarchical data
• A copula-based joint regression analysis including Granger causality

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