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Dokumenttyp:
Zeitungsartikel 
Autor(en):
Tepegjozova, M., Zhou, J., Claeskens, G., and Czado, C. 
Titel:
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 a more accurate modelling of the stochastic relationship among variables, especially in the tails. We introduce a novel non-restrictive and highly flexible nonparametric quantile regression approach based on C- and D-vine copulas. Vine copulas allow for separate modeling of marginal distribut...    »
 
Stichworte:
quantile regression, vine copula, conditional quantile function, nonparametric pair-copulas 
Dewey Dezimalklassifikation:
510 Mathematik 
Zeitschriftentitel:
Preprint 
Jahr:
2021 
Jahr / Monat:
2021-02 
Quartal:
1. Quartal 
Monat:
Feb 
Sprache:
en 
WWW:
Status:
Preprint / submitted 
TUM Einrichtung:
Professur für Angewandte Mathematische Statistik 
Format:
Text