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Title:

Bivariate vine copula based quantile regression

Document type:
Zeitschriftenaufsatz
Author(s):
Tepegjozova, Marija; Czado, Claudia
Abstract:
The statistical analysis of univariate quantiles is a well developed research topic. However, there is a profound need for research in multivariate quantiles. We tackle the topic of bivariate quantiles and bivariate quantile regression using vine copulas. They are graph theoretical models identified by a sequence of linked trees, which allow for separate modelling of marginal distributions and the dependence structure. We introduce a novel graph structure model (given by a tree sequence) specifi...     »
Dewey Decimal Classification:
510 Mathematik
Journal title:
Preprint
Year:
2022
Year / month:
2022-05
Quarter:
2. Quartal
Month:
May
Language:
en
Fulltext / DOI:
doi:10.48550/ARXIV.2205.02557
WWW:
arXiv
Publisher:
arXiv
Submitted:
05.05.2022
Semester:
SS 22
TUM Institution:
Professur für Angewandte Mathematische Statistik
Format:
Text
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