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

Citováno: 4

--- ALGHALITH, M. A new parametric method of estimating the joint probability density. PHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS. ISSN 0378-4371, APR 1 2017, vol. 471, p. 799-803. [WOS]
--- MATSYPURA, D. - NEO, E. - PROKHOROV, A. Estimation of Hierarchical Archimedean Copulas as a Shortest Path Problem. ECONOMICS LETTERS. ISSN 0165-1765, DEC 2016, vol. 149, p. 131-134. [WOS]
--- UYTTENDAELE, N. On the estimation of nested Archimedean copulas: a theoretical and an experimental comparison. COMPUTATIONAL STATISTICS. ISSN 0943-4062, JUN 2018, vol. 33, no. 2, p. 1047-1070. [WOS]
--- OKHRIN, O. - TETEREVA, A. The Realized Hierarchical Archimedean Copula in Risk Modelling. ECONOMETRICS. ISSN 2225-1146, JUN 2017, vol. 5, no. 2. [WOS]

Trvalý link: http://hdl.handle.net/11104/0248436