Misspecification in copula-based regression

Simple item page
dc.contributor.authorDette, Holger
dc.contributor.authorVan Hecke, Ria
dc.contributor.authorVolgushev, Stanislav
dc.date.accessioned2013-10-11T07:30:28Z
dc.date.available2013-10-11T07:30:28Z
dc.date.issued2013-10-11
dc.description.abstractIn a recent paper Noh et al. (2013) proposed a new semiparametric estimate of a regression function with a multivariate predictor, which is based on a specification of the dependence structure between the predictor and the response by means of a parametric copula. This paper investigates the effect which occurs under misspecification of the parametric model. We demonstrate that even for a one or two dimensional predictor the error caused by a \wrong" speci fication of the parametric family is rather severe, if the regression is not monotone in one of the components of the predictor. Moreover, we also show that these problems occur for all of the commonly used copula families and we illustrate in several examples that the copula-based regression may lead to invalid results even when more flexible copula models such as vine copulae (with the common parametric families) are used in the estimation procedure.en
dc.identifier.urihttp://hdl.handle.net/2003/31096
dc.identifier.urihttp://dx.doi.org/10.17877/DE290R-10832
dc.language.isoende
dc.relation.ispartofseriesDiscussion Paper / SFB 823;39/2013en
dc.subjectcopulaeen
dc.subjectcurse of dimensionalityen
dc.subjectpairwise copulae,en
dc.subjectsemiparametric inferenceen
dc.subjectvine copulaeen
dc.subject.ddc310
dc.subject.ddc330
dc.subject.ddc620
dc.titleMisspecification in copula-based regressionen
dc.typeTextde
dc.type.publicationtypeworkingPaperde
dcterms.accessRightsopen access

Files

Original bundle
Now showing 1 - 1 of 1
Thumbnail Image
Name:
DP_3913_SFB823_Dette_Hecke_Volgushev.pdf
Size:
697.01 KB
Format:
Adobe Portable Document Format
Description:
DNB
Download
License bundle
Now showing 1 - 1 of 1
No Thumbnail Available
Name:
license.txt
Size:
1.02 KB
Format:
Item-specific license agreed upon to submission
Description:
Download

Collections

Sonderforschungsbereich (SFB) 823