arXivDaily arXiv每日学术速递 周一至周五更新
arXiv 2108.09438math.STecon.EMstat.MEstat.TH
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混合数据的最大熵Copula模型:表示、估计及应用

A Maximum Entropy Copula Model for Mixed Data: Representation, Estimation, and Applications

Subhadeep, Mukhopadhyay

摘要:

提出了一种新的非参数最大熵(MaxEnt)Copula密度函数模型,它具有以下优点:(i)对混合随机向量是有效的。通过“混合”,我们的意思是该方法适用于任何离散或连续变量的组合,在一个完全自动化的方式;(二)它产生一个真正的密度估计与intepretable参数。所谓“真正”,我们的意思是估计保证是非负函数,积分为1;(iii)它在我们理解一大类统计方法方面发挥着统一的作用。我们的方法利用现代机械的非参数统计表示和近似对数copula密度函数通过LP-傅里叶变换。还提供了几个真实数据的例子,以探讨该理论的关键理论和实践意义。

英文摘要:

A new nonparametric model of maximum-entropy (MaxEnt) copula density function is proposed, which offers the following advantages: (i) it is valid for mixed random vector. By `mixed' we mean the method works for any combination of discrete or continuous variables in a fully automated manner; (ii) it yields a bonafide density estimate with intepretable parameters. By `bonafide' we mean the estimate guarantees to be a non-negative function, integrates to 1; and (iii) it plays a unifying role in our understanding of a large class of statistical methods. Our approach utilizes modern machinery of nonparametric statistics to represent and approximate log-copula density function via LP-Fourier transform. Several real-data examples are also provided to explore the key theoretical and practical implications of the theory.

机构、总结、中文摘要均由AI分析而来,可能存在错误,请以论文正文为准。

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