EM algorithm for estimating the Bernstein copula
| Project/Area Number |
26730024
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| Research Category |
Grant-in-Aid for Young Scientists (B)
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| Allocation Type | Multi-year Fund |
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| Research Field |
Statistical science
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| Research Institution | Waseda University |
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Principal Investigator |
Dou Xiaoling 早稲田大学, 理工学術院, 助教 (10516868)
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| Research Collaborator |
KURIKI Satoshi 統計数理研究所, 数理推論研究系, 教授
LIN Gwo Dong Academia Sinica, The Institute of Statistical Science, Research Fellow
RICHARDS Donald Pennsylvania State University, Department of Statistics, Professor
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| Project Period (FY) |
2014-04-01 – 2017-03-31
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| Project Status |
Completed (Fiscal Year 2016)
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| Budget Amount *help |
¥2,210,000 (Direct Cost: ¥1,700,000、Indirect Cost: ¥510,000)
Fiscal Year 2015: ¥1,300,000 (Direct Cost: ¥1,000,000、Indirect Cost: ¥300,000)
Fiscal Year 2014: ¥910,000 (Direct Cost: ¥700,000、Indirect Cost: ¥210,000)
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| Keywords | 多変量分布推定 / 順序統計量 / 周辺分布 / 経験分布関数 / コピュラ / 有限混合分布 / EMアルゴリズム / カーネル密度推定 / コピュラの推定 / 高次元データ / Baker分布 / Bernsteinコピュラ / Baker's distribution / Bernstein polynomial / Density estimation / Order statistic / Ordered categorical data |
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| Outline of Final Research Achievements |
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.
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Report
(4 results)
Research Products
(22 results)
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[Presentation] B-spline copula and its estimation2016
Author(s)
Xiaoling Dou
Organizer
The 10th ICSA International Conference on Global Growth of Modern Statistics in the 21st Century
Place of Presentation
Shanghai Jiao Tong University, China
Year and Date
2016-12-18
Related Report
Int'l Joint Research / Invited
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[Presentation] Estimation of B-spline copulas2015
Author(s)
Xiaoling Dou, Satoshi Kuriki, Gwo Dong Lin and Donald Richards
Organizer
Miura Statistical Seminar (March, 2015)
Place of Presentation
三浦
Year and Date
2015-03-05 – 2015-03-07
Related Report
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[Presentation] Baker's distribution and the B-spline copula2015
Author(s)
Xiaoling Dou, Satoshi Kuriki, Gwo Dong Lin, Donald Richards
Organizer
Waseda International Symposium --Asymptotic Sufficiency, Asymptotic Efficiency and Semimartingale-- (March, 2015)
Place of Presentation
早稲田大学
Year and Date
2015-03-02 – 2015-03-04
Related Report
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