Journal
ENTROPY
Volume 24, Issue 12, Pages -Publisher
MDPI
DOI: 10.3390/e24121849
Keywords
missing at random; expert knowledge; expectation maximization; semiparametric estimation
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In this work, we rigorously apply the Expectation Maximization algorithm to determine the marginal distributions and dependence structure in a Gaussian copula model with missing data. We show how to avoid prior assumptions on the marginals through semiparametric modeling and explain how expert knowledge can be incorporated. Simulation results demonstrate that the distribution learned using this algorithm is closer to the true distribution than existing methods, and the inclusion of domain knowledge provides benefits.
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 modeling. Further, we outline how expert knowledge on the marginals and the dependency structure can be included. A simulation study shows that the distribution learned through this algorithm is closer to the true distribution than that obtained with existing methods and that the incorporation of domain knowledge provides benefits.
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