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Document type:
Zeitungsartikel 
Author(s):
Tepegjozova, M., Zhou, J., Claeskens, G., and Czado, C. 
Title:
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...    »
 
Keywords:
quantile regression, vine copula, conditional quantile function, nonparametric pair-copulas 
Dewey Decimal Classification:
510 Mathematik 
Journal title:
Preprint 
Year:
2021 
Year / month:
2021-02 
Quarter:
1. Quartal 
Month:
Feb 
Language:
en 
WWW:
Status:
Preprint / submitted 
TUM Institution:
Professur für Angewandte Mathematische Statistik 
Format:
Text