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Document type:
Zeitungsartikel 
Author(s):
Kraus, D. and Czado, C. 
Title:
D-vine copula based quantile regression 
Abstract:
Quantile regression, that is the prediction of conditional quantiles, has steadily gained importance in statistical modeling and financial applications. The authors introduce a new semiparametric quantile regression method based on sequentially fitting a likelihood optimal D-vine copula to given data resulting in highly flexible models with easily extractable conditional quantiles. As a subclass of regular vine copulas, D-vines enable the modeling of multivariate copulas in terms of bivariate bu...    »
 
Keywords:
quantile regression, conditional distribution, vine copula, conditional copula quantile, stress testing 
Dewey Decimal Classification:
510 Mathematik 
Journal title:
Computational Statistics and Data Analysis 
Year:
2017 
Journal volume:
110 
Year / month:
2017-06 
Quarter:
2. Quartal 
Month:
Jun 
Pages contribution:
1-18 
Reviewed:
ja 
Language:
en 
Publisher:
Elsevier 
Print-ISSN:
0167-9473 
Status:
Verlagsversion / published 
Accepted:
21.12.2016 
Date of publication:
28.12.2016 
TUM Institution:
Lehrstuhl für Mathematische Statistik 
Format:
Text