Penalized marginal likelihood estimation of finite mixtures of Archimedean copulas.
Göran KauermannRenate MeyerPublished in: Comput. Stat. (2014)
Keyphrases
- marginal likelihood
- finite mixtures
- model selection
- mixture model
- minimum message length
- exponential family
- maximum likelihood
- information criterion
- parameter estimation
- closed form
- gaussian process
- em algorithm
- selection criterion
- density estimation
- maximum likelihood estimation
- variable selection
- bayesian information criterion
- expectation maximization
- least squares
- hyperparameters
- prior knowledge
- cross validation
- probability distribution