Dependence structure estimation using Copula Recursive Trees
Fuente:
arXiv
Salvato in:
| Autori principali: | , , , |
|---|---|
| Natura: | Preprint |
| Pubblicazione: |
2020
|
| Soggetti: | |
| Accesso online: | |
| Tags: |
Aggiungi Tag
Nessun Tag, puoi essere il primo ad aggiungerne!!
|
| _version_ | 1866913241874038784 |
|---|---|
| author | Laverny, Oskar Masiello, Esterina Maume-Deschamps, Véronique Rullière, Didier |
| author_facet | Laverny, Oskar Masiello, Esterina Maume-Deschamps, Véronique Rullière, Didier |
| contents | We construct the COpula Recursive Tree (CORT) estimator: a flexible, consistent, piecewise linear estimator of a copula, leveraging the patchwork copula formalization and various piecewise constant density estimators. While the patchwork structure imposes a grid, the CORT estimator is data-driven and constructs the (possibly irregular) grid recursively from the data, minimizing a chosen distance on the copula space. The addition of the copula constraints makes usual density estimators unusable, whereas the CORT estimator is only concerned with dependence and guarantees the uniformity of margins. Refinements such as localized dimension reduction and bagging are developed, analyzed, and tested through simulated data. |
| format | Preprint |
| id |
arxiv_https___arxiv_org_abs_2005_02912 |
| institution | arXiv |
| publishDate | 2020 |
| record_format | arxiv |
| spellingShingle | Dependence structure estimation using Copula Recursive Trees Laverny, Oskar Masiello, Esterina Maume-Deschamps, Véronique Rullière, Didier Statistics Theory We construct the COpula Recursive Tree (CORT) estimator: a flexible, consistent, piecewise linear estimator of a copula, leveraging the patchwork copula formalization and various piecewise constant density estimators. While the patchwork structure imposes a grid, the CORT estimator is data-driven and constructs the (possibly irregular) grid recursively from the data, minimizing a chosen distance on the copula space. The addition of the copula constraints makes usual density estimators unusable, whereas the CORT estimator is only concerned with dependence and guarantees the uniformity of margins. Refinements such as localized dimension reduction and bagging are developed, analyzed, and tested through simulated data. |
| title | Dependence structure estimation using Copula Recursive Trees |
| topic | Statistics Theory |
| url | https://arxiv.org/abs/2005.02912 |