Selection of Mixed Copula Model via Penalized Likelihood
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Publication:4975416
DOI10.1080/01621459.2013.873366zbMath1367.62215OpenAlexW2141280361MaRDI QIDQ4975416
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
EM algorithmvariable selectioncomovementLassoSCADshrinkage operatorboundary and unidentified parameters
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
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- Asymptotic Theory of Certain "Goodness of Fit" Criteria Based on Stochastic Processes
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