A Semiparametric and Location-Shift Copula-Based Mixture Model

A Semiparametric and Location-Shift Copula-Based Mixture Model Modeling mixtures of distributions has rested on Gaussian distributions and/or a conditional independence hypothesis for a long time. Only recently have researchers begun to construct and study broader generic models without appealing to such hypotheses. Some of these extensions use copulas as a tool to build flexible models, as they permit modeling the dependence and the marginal distributions separately. But this approach also has drawbacks. First, the practitioner has to make more arbitrary choices, and second, marginal misspecification may loom on the horizon. This paper aims at overcoming these limitations by presenting a copulabased mixture model which is semiparametric. Thanks to a location-shift hypothesis, semiparametric estimation, also, is feasible, allowing for data adaptation without any modeling effort. http://www.deepdyve.com/assets/images/DeepDyve-Logo-lg.png Journal of Classification Springer Journals

A Semiparametric and Location-Shift Copula-Based Mixture Model

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Publisher
Springer US
Copyright
Copyright © 2017 by Classification Society of North America
Subject
Statistics; Statistical Theory and Methods; Pattern Recognition; Bioinformatics; Signal,Image and Speech Processing; Psychometrics; Marketing
ISSN
0176-4268
eISSN
1432-1343
D.O.I.
10.1007/s00357-017-9243-9
Publisher site
See Article on Publisher Site

Abstract

Modeling mixtures of distributions has rested on Gaussian distributions and/or a conditional independence hypothesis for a long time. Only recently have researchers begun to construct and study broader generic models without appealing to such hypotheses. Some of these extensions use copulas as a tool to build flexible models, as they permit modeling the dependence and the marginal distributions separately. But this approach also has drawbacks. First, the practitioner has to make more arbitrary choices, and second, marginal misspecification may loom on the horizon. This paper aims at overcoming these limitations by presenting a copulabased mixture model which is semiparametric. Thanks to a location-shift hypothesis, semiparametric estimation, also, is feasible, allowing for data adaptation without any modeling effort.

Journal

Journal of ClassificationSpringer Journals

Published: Oct 19, 2017

References

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