Bivariate vine copula based quantile regression. (arXiv:2205.02557v1 [stat.ME])

The statistical analysis of univariate quantiles is a well developed research
topic. However, there is a profound need for research in multivariate
quantiles. We tackle the topic of bivariate quantiles and bivariate quantile
regression using vine copulas. They are graph theoretical models identified by
a sequence of linked trees, which allow for separate modelling of marginal
distributions and the dependence structure. We introduce a novel graph
structure model (given by a tree sequence) specifically designed for a
symmetric treatment of …

arxiv copula quantile regression