[Statlist] Research seminar in statistics November 14th 2014, GSEM, University of Geneva

[Eva Cantoni]

Organisers :
E. Cantoni - E. Ronchetti - S. Sperlich - M-P. Victoria-Feser

Friday November 14th, 2014
at 11h15 - Room M 5220, Uni Mail (40, bd du Pont-d'Arve)

Ingrid Van Keilegom
Université catholique, Louvain

Semiparametric Conditional Quantile Estimation through Copula-Based 
Multivariate Models


Abstract:
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 conditional estimator 
has three main advantages: it applies to both iid and time series data, 
it is automatically monotonic across quantiles, and, unlike other 
copula-based methods, it can be directly applied to the multiple 
covariates case without introducing any extra complications. We show the 
asymptotic properties of our estimator when the copula is estimated by 
maximizing the pseudo log-likelihood and the margins are estimated 
nonparametrically including the case where the copula family is 
misspecified. We also present the finite sample performance of the 
estimator and illustrate the usefulness of our proposal by an 
application to the historical volatilities of Google and Yahoo 
companies. (This is joint work with Hohsuk Noh and Anouar El Ghouch.)


Visit the website: http://www.stat-center.unige.ch/ressem.html


-- 
Prof. Eva Cantoni
Research Center for Statistics and
      Geneva School of Economics and Management
University of Geneva, Bd du Pont d'Arve 40, CH-1211 Genève 4
http://stat-center.unige.ch/members2/profs/eva-cantoni/