Flexible Copula Density Estimation with Penalized Hierarchical B-Splines
نویسندگان
چکیده
The paper introduces a new method for flexible spline fitting for copula density estimation. Spline coefficients are penalized to achieve a smooth fit. To weaken the curse of dimensionality, instead of a full tensor spline basis, a reduced tensor product based on sparse grids Zenger (1991) is used. To achieve uniform margins of the copula density, linear constraints are placed on the spline coefficients and quadratic programming is used to fit the model. Simulations and practical examples accompany the presentation.
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