Some Comments on Copula-Based Regression

DOI10.1080/01621459.2014.916577zbMath1368.62094arXiv1310.8037OpenAlexW1981848152MaRDI QIDQ4975580

Stanislav Volgushev, Ria Van Hecke, Dette, Holger

Publication date: 7 August 2017

Published in: Journal of the American Statistical Association (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1310.8037

zbMATH Keywords

copulascurse of dimensionalitysemiparametric inferencevine copulaspairwise copulas

Mathematics Subject Classification ID

Nonparametric regression and quantile regression (62G08) Estimation in multivariate analysis (62H12) Nonparametric estimation (62G05)

Related Items (9)

On multivariate asymmetric dependence using multivariate skew-normal copula-based regression ⋮ Modelling credit card exposure at default using vine copula quantile regression ⋮ Quantifying directed dependence via dimension reduction ⋮ Copula-based regression models with data missing at random ⋮ Conditional density estimation using the local Gaussian correlation ⋮ D-vine copula based quantile regression ⋮ On non-central squared copulas ⋮ Semi-parametric copula-based models under non-stationarity ⋮ ROS regression: integrating regularization with optimal scaling regression

Cites Work

• Pair-copula constructions of multiple dependence
• Additive regression and other nonparametric models
• Semiparametric least squares (SLS) and weighted SLS estimation of single-index models
• A semiparametric estimation procedure of dependence parameters in multivariate families of distributions
• Copula-Based Regression Estimation and Inference
• Semiparametric estimation in copula models

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