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A nonparametric copula density estimator incorporating information on bivariate marginals (1602.00109v1)
Published 30 Jan 2016 in stat.ME
Abstract: We propose a copula density estimator that can include information on bivariate marginals when the information is available. We use B-splines for copula density approximation and include information on bivariate marginals via a penalty term. Our estimator satisfies the constraints for a copula density. Under mild conditions, the proposed estimator is consistent.
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