过度拟合
伯恩斯坦多项式
数学
建设性的
高斯分布
应用数学
计量经济学
纯数学
数学优化
计算机科学
人工智能
人工神经网络
量子力学
过程(计算)
操作系统
物理
作者
Dietmar Pfeifer,Olena Ragulina
出处
期刊:Mathematics
[MDPI AG]
日期:2020-12-14
卷期号:8 (12): 2221-2221
被引量:6
摘要
We present a constructive approach to Bernstein copulas with an admissible discrete skeleton in arbitrary dimensions when the underlying marginal grid sizes are smaller than the number of observations. This prevents an overfitting of the estimated dependence model and reduces the simulation effort for Bernstein copulas a lot. In a case study, we compare different approaches of Bernstein and Gaussian copulas regarding the estimation of risk measures in risk management.
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