Simplified R-vine based forward regression

Journal article (2021)

Authors

K. Zhu Applied Probability
D Kurowicka Applied Probability
Gabriela F. Nane Applied Probability
Research Group
Applied Probability
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Published Date

2021

Language

English

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Research Group

Applied Probability

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.

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