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Document type:
Masterarbeit 
Author(s):
Niklas Schallhorn 
Title:
D-vine quantile regression for mixed discrete and continuous data with applications to bank stress testing 
Abstract:
Quantile regression as the estimation of conditional quantiles finds applications in various fields. Using a parametrically estimated D-vine copula to model the dependency of the response variable and the predictors, we propose a generalization of the continuous D-vine quantile regression that is explicitly tailored to handle both continuous and discrete variables. Thereby, we extend the usage of D-vine quantile regression to situations where discrete variables are present. A D-vine as a subclas...    »
 
Subject:
MAT Mathematik 
DDC:
510 Mathematik 
Advisor:
Daniel Kraus, Claudia Czado 
Year:
2017 
Quarter:
1. Quartal 
Year / month:
2017-03 
Month:
Mar 
Pages:
126 
Language:
en 
University:
Technische Universität München 
Faculty:
Fakultät für Mathematik 
TUM Institution:
Lehrstuhl für Mathematische Statistik 
Format:
Text 
ingested:
01.03.2017