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Document type:
Masterarbeit 
Author(s):
Jakob Herrmann 
Title:
Regular vine copula based quantile regression 
Abstract:
As the prediction of conditional quantiles plays an important role in various fields of economics (e.g. value at risk in finance), quantile regression has steadily gained importance in statistical modeling. Since the introduction of linear quantile regression, which models the linear conditional quantile function using regression coefficients, multiple methods have been developed aiming to improve the model's shortfalls, such as the linearity assumption and quantile crossing. D-vine copula base...    »
 
Subject:
MAT Mathematik 
DDC:
510 Mathematik 
Advisor:
Claudia Czado and Nicole Barthel 
Year:
2018 
Quarter:
3. Quartal 
Year / month:
2018-09 
Month:
Sep 
Pages:
176 
Language:
en 
University:
Technische Universität München 
Faculty:
Fakultät für Mathematik 
TUM Institution:
Lehrstuhl für Mathematische Statistik 
Format:
Text