Simplified R-vine based forward regression

DOI10.1016/J.CSDA.2020.107091MaRDI QIDQ829728zbMATH OpenOpenAlexFDO

Authors Kailun Zhu, D. Kurowicka, Gabriela F. Nane

Publication date 6 May 2021

Published in Computational Statistics and Data Analysis (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.csda.2020.107091

zbMATH Keywords

stress testforward regressionregular vine copula

Mathematics Subject Classification ID

Statistics (62-XX)

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Cites work

• scientific article; zbMATH DE number 47310 (Why is no real title available?)
• scientific article; zbMATH DE number 1134711 (Why is no real title available?)
• Common sampling orders of regular vines with application to model selection
• Conditional copula simulation for systemic risk stress testing
• Conditional copulas, association measures and their applications
• Copula-Based Regression Estimation and Inference
• D-vine copula based quantile regression
• Dependence Calibration in Conditional Copulas: A Nonparametric Approach
• Estimation of a conditional copula and association measures
• Goodness of Fit and Related Inference Processes for Quantile Regression
• On the simplified pair-copula construction -- simply useful or too simplistic?
• Prediction based on conditional distributions of vine copulas
• Sampling, conditionalizing, counting, merging, searching regular vines
• Selecting and estimating regular vine copulae and application to financial returns
• Simplified pair copula constructions -- limitations and extensions
• Vines -- a new graphical model for dependent random variables.

Cited in

(2)

• Nonparametric C- and D-vine-based quantile regression
• Modelling credit card exposure at default using vine copula quantile regression

Describes a project that uses

Uses Software

• pacotest
• CDVine
• VineCopula
• ks

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