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

DOI10.1016/j.csda.2011.07.016zbMath1239.62038OpenAlexW1969334981MaRDI QIDQ425397

Leming Qu, Wotao Yin

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)

Related Items

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

Uses Software

• Matlab

Cites Work

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