Boosting distributional copula regression

Abstract Capturing complex dependence structures between outcome variables (e.g., study endpoints) is of high relevance in contemporary biomedical data problems and medical research. Distributional copula regression provides a flexible tool to model the joint distribution of multiple outcome variables by disentangling the marginal response distributions and their dependence structure. In a regression setup, each parameter of the copula model, that is, the marginal distribution parameters and the copula dependence parameters, can be related to covariates via structured additive predictors. We propose a framework to fit distributional copula regression via model‐based boosting, which is a modern estimation technique that incorporates useful features like an intrinsic variable selection mechanism, parameter shrinkage and the capability to fit regression models in high‐dimensional data setting, that is, situations with more covariates than observations. Thus, model‐based boosting does not only complement existing Bayesian and maximum‐likelihood based estimation frameworks for this model class but rather enables unique intrinsic mechanisms that can be helpful in many applied problems. The performance of our boosting algorithm for copula regression models with continuous margins is evaluated in simulation studies that cover low‐ and high‐dimensional data settings and situations with and without dependence between the responses. Moreover, distributional copula boosting is used to jointly analyze and predict the length and the weight of newborns conditional on sonographic measurements of the fetus before delivery together with other clinical variables.