A0895
Title: A Newton-Raphson method for estimating the B-spline copula
Authors: Xiaoling Dou - International Christian University (Japan) [presenting]
Abstract: The B-spline copula is defined by using normalized B-spline basis functions. It has been shown that the B-spline copula is flexible enough for practical use. So far, an EM algorithm for estimating B-spline copula has been developed. A Newton-Raphson method is proposed to estimate the B-spline copula by maximizing a penalized pseudo-likelihood function. Different penalty functions may be used for different purposes that depend on the particular application being made. The interest is in the smoothness of the estimated copula density, and a roughness functional is introduced into the pseudo-likelihood. The cross-validation is first used to determine the size of parameter, and the smoothing parameter, then the Newton-Raphson method is applied to estimate the parameter of the copula.
