Estimation of Multivariate Dependence Structures via Constrained Maximum Likelihood

• Published in: Journal of agricultural, biological, and environmental statistics Vol. 27; no. 2; pp. 240 - 260
• Main Authors: Adegoke, Nurudeen A., Punnett, Andrew, Anderson, Marti J.
• Format: Journal Article
• Language: English
• Published: New York Springer US 01.06.2022; Springer; Springer Nature B.V
• Subjects: Agriculture; Biostatistics; Covariance matrix; Estimation; Health Sciences; Mathematical models; Mathematics and Statistics; Maximum likelihood estimates; Medicine; Monitoring/Environmental Analysis; Multivariate analysis; Parameters; Simulation; Statistics; Statistics for Life Sciences; Trawling; Graphical model; Sparse modelling; Gaussian copula; Regularization; Statistical model; Constrained optimization

Estimating high-dimensional dependence structures in models of multivariate datasets is an ongoing challenge. Copulas provide a powerful and intuitive way to model dependence structure in the joint distribution of disparate types of variables. Here, we propose an estimation method for Gaussian copul...