Flexible Multivariate Density Estimation With Marginal Adaptation
Flexible Multivariate Density Estimation With Marginal Adaptation
This article is concerned with multivariate density estimation. We discuss deficiencies in two popular multivariate density estimators—mixture and copula estimators, and propose a new class of estimators that combines the advantages of both mixture and copula modeling, while being more robust to their weaknesses. Our method adapts any multivariate density …