Expectation Maximization Algorithms for Estimating Bernstein Copula Density
نویسندگان
چکیده
On the basis of order statistics, Baker (2008) proposed a method for constructing multivariate distributions with fixed marginals. This is another representation of the Bernstein copula. According to the construction of Baker’s distribution, the Bernstein copula can be regarded as a finite mixture distribution. In this paper, we propose expectationmaximization (EM) algorithms to estimate the Bernstein copula function, and prove the local convergence property. Moreover, asymptotic properties of the proposed semiparametric estimators are provided. Illustrative examples are presented using real datasets. Keyword: Baker’s distribution, Bernstein polynomial, Density estimation, Linear convergence, Order statistic, Ordered categorical data.
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