Copula density estimation by total variation penalized likelihood

DOI10.1080/03610910903168587MaRDI QIDQ3652732zbMATH OpenOpenAlexFDO

Authors Leming Qu, Yi Qian, Hui Xie

Publication date 16 December 2009

Published in Communications in Statistics. Simulation and Computation (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/03610910903168587

zbMATH Keywords

copuladensity estimationdependence modelingtotal variation

Mathematics Subject Classification ID

Density estimation (62G07) Characterization and structure theory for multivariate probability distributions; copulas (62H05) Measures of association (correlation, canonical correlation, etc.) (62H20) Applications of statistics to actuarial sciences and financial mathematics (62P05) Applications of statistics to economics (62P20) Monte Carlo methods (65C05)

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Cites work

• A Stochastic Estimator of the Trace of the Influence Matrix for Laplacian Smoothing Splines
• An introduction to copulas.
• An Iterative Regularization Method for Total Variation-Based Image Restoration
• Asymptotic comparison of (partial) cross-validation, GCV and randomized GCV in nonparametric regression
• Computational Methods for Inverse Problems
• Density estimation by total variation penalized likelihood driven by the sparsity l₁ information criterion
• Econometric analysis of cross section and panel data.
• Estimating a bivariate density when there are extra data on one or both components
• Estimating the density of a copula function
• Goodness-of-fit tests for copulas
• scientific article; zbMATH DE number 3870293 (Why is no real title available?)
• Nonparametric estimation of copula functions for dependence modelling
• On the estimation of a probability density function by the maximum penalized likelihood method
• THE BERNSTEIN COPULA AND ITS APPLICATIONS TO MODELING AND APPROXIMATIONS OF MULTIVARIATE DISTRIBUTIONS

Cited in

(12)

• Smooth copula-based estimation of the conditional density function with a single covariate
• Penalized marginal likelihood estimation of finite mixtures of Archimedean copulas
• Flexible copula density estimation with penalized hierarchical B-splines
• A copula function selection criterion based on nonparametric kernel density estimation
• Exponential series estimation of empirical copulas with application to financial returns
• Copula density estimation by total variation penalized likelihood with linear equality constraints
• Selection of mixed copula model via penalized likelihood
• Copula density estimation by finite mixture of parametric copula densities
• Nonparametric estimation of copula functions for dependence modelling
• Estimating copula densities, using model selection techniques
• Penalized logspline density estimation using total variation penalty
• Semiparametric multivariate density estimation for positive data using copulas

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