On the Consistency of an Estimator for Hierarchical Archimedean Copulas

0446436 - ÚI 2016 RIV CZ eng C - Konferenční příspěvek (zahraniční konf.)
Górecki, J. - Hofert, M. - Holeňa, Martin
On the Consistency of an Estimator for Hierarchical Archimedean Copulas.
Proceedings of 32nd International Conference Mathematical Methods in Economics MME 2014. Olomouc: Palacký University, 2014 - (Talašová, J.; Stoklasa, J.; Talášek, T.), s. 239-244. ISBN 978-80-244-4209-9.
[MME 2014. International Conference Mathematical Methods in Economics /32./. Olomouc (CZ), 10.09.2014-12.09.2014]
Grant CEP: GA ČR GA13-17187S
Grant ostatní: Slezská univerzita v Opavě(CZ) SGS/21/2014
Institucionální podpora: RVO:67985807
Klíčová slova: hierarchical Archimedean copula * Kendall distribution function * parameter estimation * structure determination * consistency
Kód oboru RIV: IN - Informatika

The paper addresses an estimation procedure for hierarchical Archimedean copulas, which has been proposed in the literature. It is shown here that this estimation is not consistent in general. Furthermore, a correction is proposed, which leads to a consistent estimator.
Trvalý link: http://hdl.handle.net/11104/0248436