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Estimating Gaussian Copulas with Missing Data with and without Expert Knowledge

In this work, we present a rigorous application of the Expectation Maximization algorithm to determine the marginal distributions and the dependence structure in a Gaussian copula model with missing data. We further show how to circumvent a priori assumptions on the marginals with semiparametric mod...

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Detalles Bibliográficos
Autores principales: Kertel, Maximilian, Pauly, Markus
Formato: Online Artículo Texto
Lenguaje:English
Publicado: MDPI 2022
Materias:
Acceso en línea:https://www.ncbi.nlm.nih.gov/pmc/articles/PMC9778345/
https://www.ncbi.nlm.nih.gov/pubmed/36554254
http://dx.doi.org/10.3390/e24121849