Semiparametric Conditional Quantile Estimation Through Copula-Based Multivariate Models
基于 Copula 多元模型的半参数条件分位数估计
We consider a new approach in quantile regression modeling based on the copula function that defines the dependence structure between the variables of interest. The key idea of this approach is to rewrite the characterization of a regression quantile in terms of a copula and marginal distributions. After the copula and the marginal distributions are estimated, the new estimator is obtained as the weighted quantile of the response variable in the model. The proposed…