On the Consistency of an Estimator for Hierarchical Archimedean Copulas

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SYSNO ASEP	0446436
Document Type	C - Proceedings Paper (int. conf.)
R&D Document Type	Conference Paper
Title	On the Consistency of an Estimator for Hierarchical Archimedean Copulas
Author(s)	Górecki, J. (CZ) Hofert, M. (CA) Holeňa, Martin (UIVT-O)_{SAI, RID}
Source Title	Proceedings of 32nd International Conference Mathematical Methods in Economics MME 2014. - Olomouc : Palacký University, 2014 / Talašová J. ; Stoklasa J. ; Talášek T. - ISBN 978-80-244-4209-9
Pages	s. 239-244
Number of pages	6 s.
Publication form	Medium - C
Action	MME 2014. International Conference Mathematical Methods in Economics /32./
Event date	10.09.2014-12.09.2014
VEvent location	Olomouc
Country	CZ - Czech Republic
Event type	EUR
Language	eng - English
Country	CZ - Czech Republic
Keywords	hierarchical Archimedean copula ; Kendall distribution function ; parameter estimation ; structure determination ; consistency
Subject RIV	IN - Informatics, Computer Science
R&D Projects	GA13-17187S GA ČR - Czech Science Foundation (CSF)
Institutional support	UIVT-O - RVO:67985807
UT WOS	000356417900042
Annotation	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.
Workplace	Institute of Computer Science
Contact	Tereza Šírová, sirova@cs.cas.cz, Tel.: 266 053 800
Year of Publishing	2016

Number of the records: 1