Number of the records: 1
On Structure, Family and Parameter Estimation of Hierarchical Archimedean Copulas
- 1.0478633 - ÚI 2018 RIV GB eng J - Journal Article
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. E-ISSN 1563-5163
R&D Projects: GA ČR GA17-01251S
Institutional support: RVO:67985807
Keywords : copula estimation * goodness-of-fit * Hierarchical Archimedean copula * structure determination
OECD category: Statistics and probability
Impact factor: 0.869, year: 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.
Permanent Link: http://hdl.handle.net/11104/0274688
File Download Size Commentary Version Access a0478633.pdf 9 11.5 MB Publisher’s postprint require
Number of the records: 1