Semiparametric copula quantile regression for complete or censored data

DOI10.1214/17-EJS1273zbMATH Open1422.62148arXiv1603.07493OpenAlexW2305888676MaRDI QIDQ527093FDOQ527093

Authors: Mickaël De Backer, Anouar El Ghouch, Ingrid Van Keilegom 

Publication date: 16 May 2017

Published in: Electronic Journal of Statistics (Search for Journal in Brave)

Abstract: When facing multivariate covariates, general semiparametric regression techniques come at hand to propose flexible models that are unexposed to the curse of dimensionality. In this work a semiparametric copula-based estimator for conditional quantiles is investigated for complete or right-censored data. In spirit, the methodology is extending the recent work of Noh et al. (2013) and Noh et al. (2015), as the main idea consists in appropriately defining the quantile regression in terms of a multivariate copula and marginal distributions. Prior estimation of the latter and simple plug-in lead to an easily implementable estimator expressed, for both contexts with or without censoring, as a weighted quantile of the observed response variable. In addition, and contrary to the initial suggestion in the literature, a semiparametric estimation scheme for the multivariate copula density is studied, motivated by the possible shortcomings of a purely parametric approach and driven by the regression context. The resulting quantile regression estimator has the valuable property of being automatically monotonic across quantile levels, and asymptotic normality for both complete and censored data is obtained under classical regularity conditions. Finally, numerical examples as well as a real data application are used to illustrate the validity and finite sample performance of the proposed procedure.

Full work available at URL: https://arxiv.org/abs/1603.07493

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zbMATH Keywords

censored quantile regressionkernel smoothingsemiparametric regressionmultidimensional copula modellingpolynomial local-likelihoodprobit transformationsemiparametric vine copulas

Mathematics Subject Classification ID

Nonparametric regression and quantile regression (62G08) Censored data models (62N01) Applications of statistics to biology and medical sciences; meta analysis (62P10) Characterization and structure theory for multivariate probability distributions; copulas (62H05)

Cited In (11)

• An adapted loss function for censored quantile regression
• Solving Estimating Equations With Copulas
• Expansion for moments of regression quantiles with applications to nonparametric testing
• Robust optimization of mixed CVaR STARR ratio using copulas
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• High-Dimensional Spatial Quantile Function-on-Scalar Regression
• Semiparametric quantile regression with random censoring
• A semiparametric copula-based estimation of the regression function for right-censored data
• Model-based recursive partitioning algorithm to penalized non-crossing multiple quantile regression for the right-censored data
• Copula-based regression models with data missing at random
• Gaussian copula based composite quantile regression in semivarying models with longitudinal data

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