# D-vine copula based quantile regression

arXiv: https://arxiv.org/abs/1510.04161 · HTML: https://mlsanity.com/paper/1510.04161/

## Key facts

- Cited by 5 papers in the map (data through 14 Oct 2026).
- First posted on arXiv 14 Oct 2015.

## Built on by (most cited first, 5 of 5)

- [A review of predictive uncertainty estimation with machine learning](https://mlsanity.com/paper/2209.08307/) (2022)
- [Vine Copulas as Differentiable Computational Graphs](https://mlsanity.com/paper/2506.13318/) (2025)
- [Bivariate vine copula based regression, bivariate level and quantile curves](https://mlsanity.com/paper/2205.02557/) (2022)
- [Throwing Vines at the Wall: Structure Learning via Random Search](https://mlsanity.com/paper/2510.20035/) (2025)
- [Assessing univariate and bivariate risks of late-frost and drought using vine copulas: A historical study for Bavaria](https://mlsanity.com/paper/2310.10324/) (2023)

## Abstract (arXiv)

Quantile regression, that is the prediction of conditional quantiles, has steadily gained importance in statistical modeling and financial applications. The authors introduce a new semiparametric quantile regression method based on sequentially fitting a likelihood optimal D-vine copula to given data resulting in highly flexible models with easily extractable conditional quantiles. As a subclass of regular vine copulas, D-vines enable the modeling of multivariate copulas in terms of bivariate building blocks, a so-called pair-copula construction (PCC). The proposed algorithm works fast and accurate even in high dimensions and incorporates an automatic variable selection by maximizing the conditional log-likelihood. Further, typical issues of quantile regression such as quantile crossing or transformations, interactions and collinearity of variables are automatically taken care of. In a simulation study the improved accuracy and saved computational time of the approach in comparison with established quantile regression methods is highlighted. An extensive financial application to international credit default swap (CDS) data including stress testing and Value-at-Risk (VaR) prediction demonstrates the usefulness of the proposed method.