[STAT/AP] Claudia Czado: Vine copula-based regression models

15 april 2024 15:45 t/m 16:45 - Locatie: Lecture Hall D@ta | Zet in mijn agenda

Vine copulas can be used to construct flexible classes of regression models that can accommodate nonlinear, non-Gaussian dependence. This will include models for univariate and bivariate responses. For this, the conditional distribution of the response given the covariates will be derived from a joint vine copula model of response and covariates. This provides a distribution regression model allowing for simple determination of conditional quantiles. The vine copula-based regression models are constructed in such a way that the conditional density can be written explicitly without integration. This allows us also to develop a forward selection strategy to avoid overfitting. These approaches will be introduced and an application involving assessing risks in flight landings will be given.