Estimating Gaussian Copulas with Missing Data
Maximilian Kertel, Markus Pauly · arXiv (Cornell University) · 2022
In this work we present a rigorous application of the Expectation Maximization algorithm to determine the marginal distributions and the dependence structure in a Gaussian copula model with missing data. We further show how to circumvent a priori assumptions on the marginals with semiparametric modelling. The joint distribution learned through this algorithm is considerably closer to the underlying distribution than existing methods.