D-vine copula based quantile regression
Quantile regression, that is the prediction of conditional quantiles, has steadily gained importance in statistical modeling and financial applications. A new semiparametric quantile regression method is introduced. It is based on sequentially fitting a likelihood optimal D-vine copula to given data...
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| Published in | Computational statistics & data analysis Vol. 110; pp. 1 - 18 |
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| Main Authors | , |
| Format | Journal Article |
| Language | English |
| Published |
Elsevier B.V
01.06.2017
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| Subjects | |
| Online Access | Get full text |
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| Abstract | Quantile regression, that is the prediction of conditional quantiles, has steadily gained importance in statistical modeling and financial applications. A new semiparametric quantile regression method is introduced. It is based on sequentially fitting a likelihood optimal D-vine copula to given data resulting in highly flexible models with easily extractable conditional quantiles. As a subclass of regular vine copulas, D-vines enable the modeling of multivariate copulas in terms of bivariate building blocks, a so-called pair-copula construction (PCC). The proposed algorithm works fast and accurate even in high dimensions and incorporates an automatic variable selection by maximizing the conditional log-likelihood. Further, typical issues of quantile regression such as quantile crossing or transformations, interactions and collinearity of variables are automatically taken care of. In a simulation study the improved accuracy and reduced computation time of the approach in comparison with established quantile regression methods is highlighted. An extensive financial application to international credit default swap (CDS) data including stress testing and Value-at-Risk (VaR) prediction demonstrates the usefulness of the proposed method. |
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| AbstractList | Quantile regression, that is the prediction of conditional quantiles, has steadily gained importance in statistical modeling and financial applications. A new semiparametric quantile regression method is introduced. It is based on sequentially fitting a likelihood optimal D-vine copula to given data resulting in highly flexible models with easily extractable conditional quantiles. As a subclass of regular vine copulas, D-vines enable the modeling of multivariate copulas in terms of bivariate building blocks, a so-called pair-copula construction (PCC). The proposed algorithm works fast and accurate even in high dimensions and incorporates an automatic variable selection by maximizing the conditional log-likelihood. Further, typical issues of quantile regression such as quantile crossing or transformations, interactions and collinearity of variables are automatically taken care of. In a simulation study the improved accuracy and reduced computation time of the approach in comparison with established quantile regression methods is highlighted. An extensive financial application to international credit default swap (CDS) data including stress testing and Value-at-Risk (VaR) prediction demonstrates the usefulness of the proposed method. |
| Author | Czado, Claudia Kraus, Daniel |
| Author_xml | – sequence: 1 givenname: Daniel orcidid: 0000-0002-6791-8225 surname: Kraus fullname: Kraus, Daniel email: daniel.kraus@tum.de – sequence: 2 givenname: Claudia surname: Czado fullname: Czado, Claudia |
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| SubjectTerms | algorithms Conditional copula quantile Conditional distribution credit crossing prediction Quantile regression regression analysis statistical models Stress testing Vine copula |
| Title | D-vine copula based quantile regression |
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