EM algorithms for estimating the Bernstein copula

DOI10.1016/J.CSDA.2014.01.009MaRDI QIDQ1660208zbMATH OpenOpenAlexFDO

Authors Xiaoling Dou, Satoshi Kuriki, Gwo Dong Lin, Donald Richards

Publication date 15 August 2018

Published in Computational Statistics and Data Analysis (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1301.2677

zbMATH Keywords

density estimationorder statisticordered categorical dataBernstein polynomiallinear convergenceBaker's distribution

Mathematics Subject Classification ID

Computational methods for problems pertaining to statistics (62-08) Nonparametric estimation (62G05) Asymptotic properties of nonparametric inference (62G20) Multivariate distribution of statistics (62H10)

Abstract: A method that uses order statistics to construct multivariate distributions with fixed marginals and which utilizes a representation of the Bernstein copula in terms of a finite mixture distribution is proposed. Expectation-maximization (EM) algorithms to estimate the Bernstein copula are proposed, and a local convergence property is proved. Moreover, asymptotic properties of the proposed semiparametric estimators are provided. Illustrative examples are presented using three real data sets and a 3-dimensional simulated data set. These studies show that the Bernstein copula is able to represent various distributions flexibly and that the proposed EM algorithms work well for such data.

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Cited in

(10)

• Bayesian estimation of generalized partition of unity copulas
• Editorial: The third special issue on advances in mixture models
• Dependence properties of B-spline copulas
• Asymptotic properties of Bernstein estimators on the simplex
• Bernstein copulas and composite Bernstein copulas
• THE BERNSTEIN COPULA AND ITS APPLICATIONS TO MODELING AND APPROXIMATIONS OF MULTIVARIATE DISTRIBUTIONS
• Multivariate matrix-exponential affine mixtures and their applications in risk theory
• Remarks on composite Bernstein copula and its application to credit risk analysis
• Multivariate composite copulas
• Composite Bernstein copulas

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