EM Estimation of the B-spline Copula with Penalized Log-Likelihood
Function
EM Estimation of the B-spline Copula with Penalized Log-Likelihood
Function
The B-spline copula function is defined by a linear combination of elements of the normalized B-spline basis. We develop a modified EM algorithm, to maximize the penalized log-likelihood function, wherein we use the smoothly clipped absolute deviation (SCAD) penalty function for the penalization term. We conduct simulation studies to demonstrate …