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Penalized exponential series estimation of copula densities with an application to intergenerat...

Empirical Economics, 2015, 48, 61-81

我院高逸尘老师在一流经济学期刊Empirical Economics上发表论文(Empirical Economics, 48, 61-81)。下面是论文的摘要。

We propose a penalized maximum likelihood estimator of copula densities that is based on the multivariate exponential series density estimator. We employ an approximate likelihood cross validationmethod to select the smoothing parameter.We demonstrate the usefulness of the proposed method via Monte Carlo simulations. We apply this method to estimate copula densities between children’s and parents’ body mass indices (BMI). Our results suggest that the dependence relationship is generally asymmetric and stronger for females. We also find a higher intergenerational BMI dependence for low income families.

(日期:2015-09-12 作者:Yichen Gao, Yu Yvette Zhang, Ximing Wu 来源:)