Simplified R-vine based forward regression

Research output: Contribution to journalArticleScientificpeer-review

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.

Original languageEnglish
Article number107091
Pages (from-to)1-31
Number of pages31
JournalComputational Statistics and Data Analysis
Volume155
DOIs
Publication statusPublished - 2021

Keywords

  • Forward regression
  • Regular vine copula
  • Stress test

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