User: Guest  Login
Document type:
Zeitschriftenaufsatz 
Author(s):
Tepegjozova, Marija; Zhou, Jing; Claeskens, Gerda; Czado, Claudia 
Title:
Nonparametric C- and D-vine-based quantile regression 
Abstract:
Quantile regression is a field with steadily growing importance in statistical modeling. It is a complementary method to linear regression, since computing a range of conditional quantile functions provides more accurate modeling of the stochastic relationship among variables, especially in the tails. We introduce a nonrestrictive and highly flexible nonparametric quantile regression approach based on C- and D-vine copulas. Vine copulas allow for separate modeling of marginal distributions and t...    »
 
Keywords:
vine copulas; conditional quantile function; nonparametric pair-copulas 
Dewey Decimal Classification:
510 Mathematik 
Journal title:
Dependence Modeling 
Year:
2022 
Journal volume:
10 
Year / month:
2022-02 
Quarter:
1. Quartal 
Month:
Feb 
Journal issue:
Pages contribution:
1-21 
Language:
en 
Fulltext / DOI:
Publisher:
Walter de Gruyter GmbH 
E-ISSN:
2300-2298 
Date of publication:
01.01.2022