Please use this identifier to cite or link to this item: http://arl.liuc.it/dspace/handle/2468/6127
Title: Model-based clustering of high dimensional data using copulas
Authors: Nai Ruscone, Marta
Issue Date: 2018
Publisher: ECOSTA econometrics and statistics
Bibliographic citation: Nai Ruscone Marta (2018), Model-based clustering of high dimensional data using copulas. In: 12th International Conference on Computational and Financial Econometrics (CFE 2018) and 11th International Conference of the ERCIM (European Research Consortium for Informatics and Mathematics) Working Group on Computational and Methodological Statistics (CMStatistics 2018), University of Pisa, Italy, 14-16 December 2018: programme and abstracts. S.l.: ECOSTA econometrics and statistics, p. 164. ISBN 978-9963-2227-5-9.
Abstract: Finite mixtures are applied to perform model-based clustering of multivariate data. Existing models do not offer great flexibility for modelling the dependence of the data since they rely on potential undesirable correlation restrictions and strict assumptions on the marginal distribution. We proposed recently a model-based clustering method via R-vine copula that allows overcoming the previous restrictions by building flexible dependence models for an arbitrary number of variables using bivariate building blocks. This method shows a disappointing behavior in highdimensional spaces since it leads to over-parametrized models. We propose a more parsimonious version of model-based clustering method via R-vine copula to alleviate the computational burden and the risk of overfitting. The model is based on the selection of the hyper-parameters of sparse model classes using truncated and thresholded R-vine copulas. We use simulated and real datasets to illustrate the proposed procedure.
URI: http://arl.liuc.it/dspace/handle/2468/6127
Journal/Book: 12th International Conference on Computational and Financial Econometrics (CFE 2018) and 11th International Conference of the ERCIM (European Research Consortium for Informatics and Mathematics) Working Group on Computational and Methodological Statistics (CMStatistics 2018), University of Pisa, Italy, 14-16 December 2018: programme and abstracts
ISBN: 978-9963-2227-5-9
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