Copula-based piecewise regression

Arturo Erdely ()
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Arturo Erdely: Universidad Nacional Autónoma de México, Facultad de Estudios Superiores Acatlán

Chapter Chapter 5 in Copulas and Dependence Models with Applications, 2017, pp 69-81 from Springer

Abstract: Abstract Most common parametric families of copulas are totally ordered, and in many cases they are also positively or negatively regression dependent and therefore they lead to monotone regression functions, which makes them not suitable for dependence relationships that imply or suggest a non-monotone regression function. A gluing copula approach is proposed to decompose the underlying copula into totally ordered copulas that once combined may lead to a non-monotone regression function.

Date: 2017
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DOI: 10.1007/978-3-319-64221-5_5

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