Selection of Mixed Copula Model via Penalized Likelihood

DOI10.1080/01621459.2013.873366zbMath1367.62215OpenAlexW2141280361MaRDI QIDQ4975416

Xian Wang, Zong-Wu Cai

Publication date: 4 August 2017

Published in: Journal of the American Statistical Association (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/01621459.2013.873366

zbMATH Keywords

EM algorithmvariable selectioncomovementLassoSCADshrinkage operatorboundary and unidentified parameters

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Ridge regression; shrinkage estimators (Lasso) (62J07) Characterization and structure theory for multivariate probability distributions; copulas (62H05)

Related Items (7)

Time-Varying Mixture Copula Models with Copula Selection ⋮ Managing risk with a realized copula parameter ⋮ Copula density estimation by finite mixture of parametric copula densities ⋮ Economic policy uncertainty: cross-country linkages and spillover effects on economic development in some belt and road countries ⋮ Mixture copulas with discrete margins and their application to imbalanced data ⋮ DETECTING FINANCIAL DATA DEPENDENCE STRUCTURE BY AVERAGING MIXTURE COPULAS ⋮ Selection of mixed copula for association modeling with tied observations

Cites Work

• Goodness-of-fit tests for copulas: A review and a power study
• Copula-based multivariate GARCH model with uncorrelated dependent errors
• Goodness-of-fit tests for copulas
• Kernel-based goodness-of-fit tests for copulas with fixed smoothing parameters
• Nonconcave penalized likelihood with a diverging number of parameters.
• A Simple, Positive Semi-Definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix
• Ideal spatial adaptation by wavelet shrinkage
• Variable Selection via Nonconcave Penalized Likelihood and its Oracle Properties
• Estimation When a Parameter is on a Boundary
• Order Selection in Finite Mixture Models With a Nonsmooth Penalty
• A NEW MEASURE OF RANK CORRELATION
• Asymptotic Theory of Certain "Goodness of Fit" Criteria Based on Stochastic Processes

This page was built for publication: Selection of Mixed Copula Model via Penalized Likelihood