Sparse M-estimators in semi-parametric copula models

DOI10.3150/23-BEJ1681MaRDI QIDQ6565332zbMATH OpenFDO

Authors Jean-David Fermanian, Benjamin Poignard

Publication date 2 July 2024

Published in Bernoulli (Search for Journal in Brave)

Full work available at URL https://doi.org/10.3150/23-BEJ1681

zbMATH Keywords

copulasM-estimationpseudo-observationssparsity

Mathematics Subject Classification ID

Probability theory and stochastic processes (60-XX) Statistics (62-XX)

Cites work

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Cited in

(3)

• High-dimensional copula-based Wasserstein dependence
• Sparse minimum redundancy maximum relevance for feature selection
• Gaussian copula correlation network analysis of mixed-type data using a semi-parametric pairwise likelihood with a multi-omics application

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