Dependence structure estimation using copula recursive trees

DOI10.1016/j.jmva.2021.104776zbMath1470.62066arXiv2005.02912OpenAlexW3022840532MaRDI QIDQ2048120

Oskar Laverny, Esterina Masiello, Véronique Maume-Deschamps, Didier Rullière

Publication date: 5 August 2021

Published in: Journal of Multivariate Analysis (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2005.02912

zbMATH Keywords

quadratic programnonparametric estimationbaggingCORTdensity estimation treespatchwork copulapiecewise linear copula

Mathematics Subject Classification ID

Estimation in multivariate analysis (62H12) Nonparametric estimation (62G05) Characterization and structure theory for multivariate probability distributions; copulas (62H05) Approximations to statistical distributions (nonasymptotic) (62E17)

Uses Software

• glasso
• CopulaModel

Cites Work

• Unnamed Item
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