Gradient-Boosted Generalized Linear Models for Conditional Vine Copulas

Abstract

Vine copulas are flexible dependence models using bivariate copulas as building blocks. If the parameters of the bivariate copulas in the vine copula depend on covariates, one obtains a conditional vine copula. We propose an extension for the estimation of continuous conditional vine copulas, where the parameters of continuous conditional bivariate copulas are estimated sequentially and separately via gradient-boosting. For this purpose, we link covariates via generalized linear models (GLMs) to Kendall's $\tau$ correlation coefficient from which the corresponding copula parameter can be obtained. In a second step, an additional covariate deselection procedure is applied. The performance of the gradient-boosted conditional vine copulas is illustrated in a simulation study. Linear covariate effects in low- and high-dimensional settings are investigated separately for the conditional bivariate copulas and the conditional vine copulas. Moreover, the gradient-boosted conditional vine copulas are applied to the multivariate postprocessing of ensemble weather forecasts in a low-dimensional covariate setting. The results show that our suggested method is able to outperform the benchmark methods and identifies temporal correlations better. Additionally, we provide an R-package called boostCopula for this method.