Simplified R-vine based forward regression

Kailun Zhu, Dorota Kurowicka and Gabriela F. Nane

Computational Statistics & Data Analysis, 2021, vol. 155, issue C

Abstract: An extension of the D-vine based forward regression procedure to a R-vine forward regression is proposed. In this extension any R-vine structure can be taken into account. Moreover, a new heuristic is proposed to determine which R-vine structure is the most appropriate to model the conditional distribution of the response variable given the covariates. It is shown in the simulation that the performance of the heuristic is comparable to the D-vine based approach. Furthermore, it is explained how to extend the heuristic into a situation when more than one response variable are of interest. Finally, the proposed R-vine regression is applied to perform a stress analysis on the manufacturing sector which shows its impact on the whole economy.

Keywords: Forward regression; Regular vine copula; Stress test (search for similar items in EconPapers)
Date: 2021
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:csdana:v:155:y:2021:i:c:s0167947320301821

DOI: 10.1016/j.csda.2020.107091

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