Semiparametric Multivariate Density Estimation Using Copulas and Shape-Constraints
dc.contributor.advisor | Jankowski, Hanna | |
dc.contributor.author | Boonpatcharanon, Sawitree | |
dc.date.accessioned | 2019-11-22T18:46:44Z | |
dc.date.available | 2019-11-22T18:46:44Z | |
dc.date.copyright | 2019-05 | |
dc.date.issued | 2019-11-22 | |
dc.date.updated | 2019-11-22T18:46:44Z | |
dc.degree.discipline | Mathematics & Statistics | |
dc.degree.level | Doctoral | |
dc.degree.name | PhD - Doctor of Philosophy | |
dc.description.abstract | Maximum likelihood estimation of a log-concave density has certain advantages over other nonparametric approaches, such as kernel density estimation, which requires a bandwidth selection. Furthermore, finding the optimal bandwidth gets more difficult as a dimension increases. On the other hand, the shape-constrained approach is automatic and does not need any tuning parameters. However, for both the kernel and log-concave estimators, the rate of convergence slows down as the dimension d increases. To handle this "curse of dimensionality", we study an intermediate semi-parametric copula approach and we estimate the marginals using the log-concave shape-constrained MLE and use a parametric approach to fit the copula parameters. We prove square root n rate of convergence for the parametric estimator and that the joint density converges at a rate of n^(-2/5) regardless of dimension. This is faster than the conjectured rate of n^(-2/(d+4)) for the multivariate log-concave estimators. We examine the performance of our proposed method via simulation studies and real data example. | |
dc.identifier.uri | http://hdl.handle.net/10315/36721 | |
dc.language | en | |
dc.rights | Author owns copyright, except where explicitly noted. Please contact the author directly with licensing requests. | |
dc.subject | Statistics | |
dc.subject.keywords | semi-parametric | |
dc.subject.keywords | log-concave | |
dc.subject.keywords | copula | |
dc.subject.keywords | density estimation | |
dc.title | Semiparametric Multivariate Density Estimation Using Copulas and Shape-Constraints | |
dc.type | Electronic Thesis or Dissertation |
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