Cai, Zongwu; Wang, Xian - In: Journal of the American Statistical Association 109 (2014) 506, pp. 788-801
A fundamental issue of applying a copula method in applications is how to choose an appropriate copula function for a given problem. In this article we address this issue by proposing a new copula selection approach via penalized likelihood plus a shrinkage operator. The proposed method selects...
