EM algorithm in Gaussian copula with missing data

DOI10.1016/j.csda.2016.01.008zbMath1466.62056OpenAlexW2283618637MaRDI QIDQ1659051

Peter X.-K. Song, Wei Ding

Publication date: 15 August 2018

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

Full work available at URL: https://doi.org/10.1016/j.csda.2016.01.008

zbMATH Keywords

EM algorithmregressionGaussian copulamisaligned missing data

Mathematics Subject Classification ID

Computational methods for problems pertaining to statistics (62-08)

Related Items (10)

A family of block-wise one-factor distributions for modeling high-dimensional binary data ⋮ Partial identification in the statistical matching problem ⋮ The EM algorithm for ML estimators under nonlinear inequalities restrictions on the parameters ⋮ Vine Copulas for Imputation of Monotone Non‐response ⋮ Copula modeling from Abe Sklar to the present day ⋮ Copula-based regression models with data missing at random ⋮ Calibration estimation of semiparametric copula models with data missing at random ⋮ Causal inference: a missing data perspective ⋮ Semiparametric estimation of copula models with nonignorable missing data ⋮ A study of data-driven distributionally robust optimization with incomplete joint data under finite support

Uses Software

• gcmr
• QRM

Cites Work

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• ESTIMATORS BASED ON KENDALL'S TAU IN MULTIVARIATE COPULA MODELS
• Maximum likelihood estimation via the ECM algorithm: A general framework
• Multivariate Dispersion Models Generated From Gaussian Copula
• A Goodness-of-fit Test for Copulas

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