Kendall’s tau and agglomerative clustering for structure determination of hierarchical Archimedean copulas

0477796 - ÚI 2018 RIV PL eng J - Journal Article
Górecki, J. - Hofert, M. - Holeňa, Martin
Kendall’s tau and agglomerative clustering for structure determination of hierarchical Archimedean copulas.
Dependence Modeling. Roč. 5, č. 1 (2017), s. 75-87. ISSN 2300-2298
R&D Projects: GA ČR GA17-01251S
Institutional support: RVO:67985807
Keywords : structure determination * agglomerative clustering * Kendall’s tau * Archimedean copula
OECD category: Statistics and probability

Several successful approaches to structure determination of hierarchical Archimedean copulas (HACs) proposed in the literature rely on agglomerative clustering and Kendall’s correlation coefficient. However, there has not been presented any theoretical proof justifying such approaches. This work fills this gap and introduces a theorem showing that, given the matrix of the pairwise Kendall correlation coefficients corresponding to a HAC, its structure can be recovered by an agglomerative clustering technique.
Permanent Link: http://hdl.handle.net/11104/0274017