vinereg: D-vine regression models

Fit D-vine copula regression models for conditional mean and quantile prediction with continuous or discrete variables. The package provides automatic covariate selection, fixed-order models, conditional distribution diagnostics, and marginal fitted-quantile plots.

References

Kraus, D. and Czado, C. (2017). D-vine copula based quantile regression. Computational Statistics & Data Analysis, 110, 1–18. doi:10.1016/j.csda.2016.12.009

Schallhorn, N., Kraus, D., Nagler, T., and Czado, C. (2017). D-vine quantile regression with discrete variables. doi:10.48550/arXiv.1705.08310

See also

Useful links:

• https://tnagler.github.io/vinereg/

• Report bugs at https://github.com/tnagler/vinereg/issues

Author

Maintainer: Thomas Nagler mail@tnagler.com

Authors:

• Thomas Nagler mail@tnagler.com

Other contributors:

• Dani Kraus [contributor]