Some comments on copula-based regression

DOI10.1080/01621459.2014.916577MaRDI QIDQ4975580zbMATH OpenOpenAlexFDO

Authors Ria Van Hecke, Stanislav Volgushev, Holger Dette

Publication date 7 August 2017

Published in Journal of the American Statistical Association (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1310.8037

zbMATH Keywords

copulascurse of dimensionalitypairwise copulassemiparametric inferencevine copulas

Mathematics Subject Classification ID

Nonparametric estimation (62G05) Nonparametric regression and quantile regression (62G08) Estimation in multivariate analysis (62H12)

Abstract: In a recent paper Noh et al. (2013) proposed a new semiparametric estimate of a regression function with a multivariate predictor, which is based on a specification of the dependence structure between the predictor and the response by means of a parametric copula. This paper investigates the effect which occurs under misspecification of the parametric model. We demonstrate that even for a one or two dimensional predictor the error caused by a wrong" specification of the parametric family is rather severe, if the regression is not monotone in one of the components of the predictor. Moreover, we also show that these problems occur for all of the commonly used copula families and we illustrate in several examples that the copula-based regression may lead to invalid results even when more exible copula models such as vine copulae (with the common parametric families) are used in the estimation procedure.

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Cites work

• A semiparametric estimation procedure of dependence parameters in multivariate families of distributions
• Additive regression and other nonparametric models
• Copula-Based Regression Estimation and Inference
• Pair-copula constructions of multiple dependence
• Semiparametric estimation in copula models
• Semiparametric least squares (SLS) and weighted SLS estimation of single-index models

Cited in

(20)

• Flexible modeling based on copulas in nonparametric median regression
• D-vine copula based quantile regression
• On non-central squared copulas
• Semi-parametric copula-based models under non-stationarity
• On multivariate asymmetric dependence using multivariate skew-normal copula-based regression
• Conditional density estimation using the local Gaussian correlation
• Copula-based regression models with data missing at random
• Vine copula regression for observational studies
• ROS regression: integrating regularization with optimal scaling regression
• Modelling credit card exposure at default using vine copula quantile regression
• Quantifying directed dependence via dimension reduction
• Solving Estimating Equations With Copulas
• A general construction of multivariate dependence structures with nonmonotone mappings and its applications
• A variance-based importance index for systems with dependent components
• Parametric and semiparametric approaches for copula-based regression estimation
• Modeling interactions within French dairy-cattle systems using R-vines
• On the weak convergence and the uniform-in-bandwidth consistency of the general conditional U-processes based on the copula representation: multivariate setting
• Copula-based estimation of causal effects in multiple linear and path analysis models
• Copulas and deep learning: a review
• Nonparanormal adjusted marginal inference

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