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EM algorithms for estimating the Bernstein copula

Author:
Dou, Xiaoling, Kuriki, Satoshi, Lin, Gwo Dong, Richards, Donald
Source:
Computational statistics & data analysis 2016 v.93 pp. 228-245
ISSN:
0167-9473
Subject:
algorithms, data collection, statistics
Abstract:
A method that uses order statistics to construct multivariate distributions with fixed marginals and which utilizes a representation of the Bernstein copula in terms of a finite mixture distribution is proposed. Expectation–maximization (EM) algorithms to estimate the Bernstein copula are proposed, and a local convergence property is proved. Moreover, asymptotic properties of the proposed semiparametric estimators are provided. Illustrative examples are presented using three real data sets and a 3-dimensional simulated data set. These studies show that the Bernstein copula is able to represent various distributions flexibly and that the proposed EM algorithms work well for such data.
Agid:
6075354