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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
Cited: 1
--- PERREAULT, S. - DUCHESNE, T. - NESLEHOVA, J.G. Detection of block-exchangeable structure in large-scale correlation matrices. JOURNAL OF MULTIVARIATE ANALYSIS. ISSN 0047-259X, JAN 2019, vol. 169, p. 400-422. [WOS]
Permanent Link: http://hdl.handle.net/11104/0274688File Download Size Commentary Version Access a0478633.pdf 9 11.5 MB Publisher’s postprint require
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