Počet záznamů: 1  

On Structure, Family and Parameter Estimation of Hierarchical Archimedean Copulas

  1. 1. 0478633 - UIVT-O 2018 RIV GB eng J - Článek v odborném periodiku
    Górecki, J. - Hofert, M. - Holeňa, Martin
    On Structure, Family and Parameter Estimation of Hierarchical Archimedean Copulas.
    Journal of Statistical Computation and Simulation. Roč. 87, č. 17 (2017), s. 3261-3324 ISSN 0094-9655
    Grant CEP: GA ČR GA17-01251S
    Institucionální podpora: RVO:67985807
    Klíčová slova: copula estimation * goodness-of-fit * Hierarchical Archimedean copula * structure determination
    Kód oboru RIV: IN - Informatika
    Obor OECD: Statistics and probability
    Impakt faktor: 0.869, rok: 2017

    Research on structure determination and parameter estimation of hierarchical Archimedean copulas (HACs) has so far mostly focused on the case in which all appearing Archimedean copulas belong to the same Archimedean family. The present work addresses this issue and proposes a new approach for estimating HACs that involve different Archimedean families. It is based on employing goodness-of-fit test statistics directly into HAC estimation. The approach is summarized in a simple algorithm, its theoretical justification is given and its applicability is illustrated by several experiments, which include estimation of HACs involving up to five different Archimedean families.
    Trvalý link: http://hdl.handle.net/11104/0274688