Copula density estimation by total variation penalized likelihood with linear equality constraints

DOI10.1016/J.CSDA.2011.07.016zbMATH Open1239.62038OpenAlexW1969334981MaRDI QIDQ425397FDOQ425397

Wotao Yin, Leming Qu

Publication date: 8 June 2012

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

Full work available at URL: https://scholarworks.boisestate.edu/math_facpubs/58

zbMATH Keywords

total variationaugmented Lagrangian methodmaximum penalized likelihood estimation

Mathematics Subject Classification ID

Density estimation (62G07) Estimation in multivariate analysis (62H12) Measures of association (correlation, canonical correlation, etc.) (62H20)

Cites Work

• Kernel density estimation via diffusion
• An introduction to copulas.
• Estimating the density of a copula function
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• Inferences on the Association Parameter in Copula Models for Bivariate Survival Data
• THE BERNSTEIN COPULA AND ITS APPLICATIONS TO MODELING AND APPROXIMATIONS OF MULTIVARIATE DISTRIBUTIONS
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• Archimedean copula estimation using Bayesian splines smoothing techniques
• Copula–Based Models for Financial Time Series
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• On Kullback-Leibler loss and density estimation
• The Split Bregman Method for L1-Regularized Problems
• Measurement of aggregate risk with copulas
• Copulas: A Review and Recent Developments
• Testing the Gaussian copula hypothesis for financial assets dependences
• Copula modeling: An introduction for practitioners
• Extensions of smoothing via taut strings
• Linear B-spline copulas with applications to nonparametric estimation of copulas
• Title not available (Why is that?)
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• Continuous Bivariate Distributions
• Image restoration with discrete constrained total variation. I: Fast and exact optimization
• Copulas: Tales and facts (with discussion)
• Statistical models and methods for dependence in insurance data
• Parametric Maximum Flow Algorithms for Fast Total Variation Minimization
• Thresholding methods to estimate copula density
• Density Estimation by Total Variation Penalized Likelihood Driven by the Sparsity ℓ1 Information Criterion
• Extreme Financial Risks
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• Copula Density Estimation by Total Variation Penalized Likelihood
• Estimating a bivariate density when there are extra data on one or both components

Cited In (7)

• Estimation of multivariate conditional-tail-expectation using Kendall's process
• Penalized logspline density estimation using total variation penalty
• Bayesian nonparametric estimation of a copula
• Flexible copula density estimation with penalized hierarchical B-splines
• On certain transformations of Archimedean copulas: Application to the non-parametric estimation of their generators
• Transformation-Kernel Estimation of Copula Densities
• Flexible pair-copula estimation in D-vines using bivariate penalized splines

Uses Software

• Matlab

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