Flexible Copula Density Estimation with Penalized Hierarchical B-splines

Flexible Copula Density Estimation with Penalized Hierarchical B-splines

0.00 Avg rating0 Votes
Article ID: iaor201523666
Volume: 40
Issue: 4
Start Page Number: 685
End Page Number: 705
Publication Date: Dec 2013
Journal: Scandinavian Journal of Statistics
Authors: , ,
Keywords: estimation, splines, distribution fitting
Abstract:

The paper introduces a new method for flexible spline fitting for copula density estimation. Spline coefficients are penalized to achieve a smooth fit. To weaken the curse of dimensionality, instead of a full tensor spline basis, a reduced tensor product based on so called sparse grids (Notes Numer. Fluid Mech. Multidiscip. Des., 31, 1991, 241‐251) is used. To achieve uniform margins of the copula density, linear constraints are placed on the spline coefficients, and quadratic programming is used to fit the model. Simulations and practical examples accompany the presentation.

Reviews

Required fields are marked *. Your email address will not be published.