Spline approximations to conditional Archimedean copula
نویسندگان
چکیده
منابع مشابه
GeD spline estimation of multivariate Archimedean copulas
A new multivariate Archimedean copula estimation method is proposed in a non-parametric setting. The method uses the so called Geometrically Designed splines (GeD splines), recently introduced by Kaishev et al. (2006 a,b) [10] and [11], to represent the cdf of a random variable Wθ, obtained through the probability integral transform of an Archimedean copula with parameter θ. Sufficient conditio...
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1 Center for Image Processing and Integrated Computing (CIPIC), Department of Computer Science, University of California, Davis, CA 95616-8562, U.S.A.; e-mail: {wiley, hamann, joy}@cs.ucdavis.edu 2 University of Kaiserslautern, Fachbereich Informatik, P.O. Box 3049, D-67653 Kaiserslautern, Germany; e-mail: {bertram, scheuer}@informatik.uni-kl.de 3 Pixar Feature Division, Pixar Animation Studios...
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ژورنال
عنوان ژورنال: Stat
سال: 2014
ISSN: 2049-1573
DOI: 10.1002/sta4.55