Number of the records: 1

On Structure, Family and Parameter Estimation of Hierarchical Archimedean Copulas

SYSNO ASEP	0478633
Document Type	J - Journal Article
R&D Document Type	Journal Article
Subsidiary J	Článek ve WOS
Title	On Structure, Family and Parameter Estimation of Hierarchical Archimedean Copulas
Author(s)	Górecki, J. (CZ) Hofert, M. (CA) Holeňa, Martin (UIVT-O)_{SAI, RID}
Number of authors	3
Source Title	Journal of Statistical Computation and Simulation. - : Taylor & Francis - ISSN 0094-9655 Roč. 87, č. 17 (2017), s. 3261-3324
Number of pages	64 s.
Language	eng - English
Country	GB - United Kingdom
Keywords	copula estimation ; goodness-of-fit ; Hierarchical Archimedean copula ; structure determination
Subject RIV	IN - Informatics, Computer Science
OECD category	Statistics and probability
R&D Projects	GA17-01251S GA ČR - Czech Science Foundation (CSF)
Institutional support	UIVT-O - RVO:67985807
UT WOS	000417048000002
EID SCOPUS	85028562700
DOI	10.1080/00949655.2017.1365148
Annotation	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.
Workplace	Institute of Computer Science
Contact	Tereza Šírová, sirova@cs.cas.cz, Tel.: 266 053 800
Year of Publishing	2018

Number of the records: 1