Search results
- 1.0525271 - ÚI 2021 RIV US eng J - Journal Article
Górecki, J. - Hofert, M. - Holeňa, Martin
Hierarchical Archimedean Copulas for Matlab and Octave: The HACopula Toolbox.
Journal of Statistical Software. Roč. 93, č. 10 (2020), s. 1-36. ISSN 1548-7660. E-ISSN 1548-7660
R&D Projects: GA ČR GA17-01251S
Institutional support: RVO:67985807
Keywords : copula * hierarchical Archimedean copula * structure * family * estimation * collapsing * sampling * goodness-of-fit * Kendall’s tau * tail dependence * MATLAB * Octave
OECD category: Computer sciences, information science, bioinformathics (hardware development to be 2.2, social aspect to be 5.8)
Impact factor: 6.440, year: 2020
Method of publishing: Open access
Permanent Link: http://hdl.handle.net/11104/0309452File Download Size Commentary Version Access 0525271-aoa.pdf 7 2.5 MB OA CC BY 3.0 Publisher’s postprint open-access - 2.0478633 - 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
Permanent Link: http://hdl.handle.net/11104/0274688File Download Size Commentary Version Access a0478633.pdf 9 11.5 MB Publisher’s postprint require - 3.0477796 - 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
Permanent Link: http://hdl.handle.net/11104/0274017 - 4.0455988 - ÚI 2016 RIV CZ eng C - Conference Paper (international conference)
Górecki, J. - Holeňa, Martin
An Alternative Approach to the Structure Determination of Hierarchical Archimedean Copulas.
Proceedings of the 31st International Conference Mathematical Methods in Economics 2013. Jihlava: College of Polytechnics Jihlava, 2013 - (Vojáčková, H.), s. 201-206. ISBN 978-80-87035-76-4.
[MME 2013. International Conference on Mathematical Methods in Economics 2013 /31./. Jihlava (CZ), 11.09.2013-13.09.2013]
Institutional support: RVO:67985807
Keywords : hierarchical Archimedean copula * structure determination * measure of concordance * bivariate margins * nesting condition
Subject RIV: IN - Informatics, Computer Science
Permanent Link: http://hdl.handle.net/11104/0256575File Download Size Commentary Version Access a0455988.pdf 0 144.1 KB Publisher’s postprint require - 5.0446436 - ÚI 2016 RIV CZ eng C - Conference Paper (international conference)
Górecki, J. - Hofert, M. - Holeňa, Martin
On the Consistency of an Estimator for Hierarchical Archimedean Copulas.
Proceedings of 32nd International Conference Mathematical Methods in Economics MME 2014. Olomouc: Palacký University, 2014 - (Talašová, J.; Stoklasa, J.; Talášek, T.), s. 239-244. ISBN 978-80-244-4209-9.
[MME 2014. International Conference Mathematical Methods in Economics /32./. Olomouc (CZ), 10.09.2014-12.09.2014]
R&D Projects: GA ČR GA13-17187S
Grant - others:Slezská univerzita v Opavě(CZ) SGS/21/2014
Institutional support: RVO:67985807
Keywords : hierarchical Archimedean copula * Kendall distribution function * parameter estimation * structure determination * consistency
Subject RIV: IN - Informatics, Computer Science
Permanent Link: http://hdl.handle.net/11104/0248436File Download Size Commentary Version Access a0446436.pdf 5 118.6 KB Publisher’s postprint require - 6.0442862 - ÚI 2016 RIV NL eng J - Journal Article
Górecki, J. - Hofert, M. - Holeňa, Martin
An Approach to Structure Determination and Estimation of Hierarchical Archimedean Copulas and its Application to Bayesian Classification.
Journal of Intelligent Information Systems. Roč. 46, č. 1 (2016), s. 21-59. ISSN 0925-9902. E-ISSN 1573-7675
R&D Projects: GA ČR GA13-17187S
Grant - others:Slezská univerzita v Opavě(CZ) SGS/21/2014
Institutional support: RVO:67985807
Keywords : Copula * Hierarchical archimedean copula * Copula estimation * Structure determination * Kendall’s tau * Bayesian classification
OECD category: Computer sciences, information science, bioinformathics (hardware development to be 2.2, social aspect to be 5.8)
Impact factor: 1.294, year: 2016
Permanent Link: http://hdl.handle.net/11104/0245680 - 7.0430472 - ÚI 2015 RIV CH eng C - Conference Paper (international conference)
Górecki, J. - Holeňa, Martin
Structure Determination and Estimation of Hierarchical Archimedean Copulas Based on Kendall Correlation Matrix.
New Frontiers in Mining Complex Patterns. Cham: Springer, 2014 - (Appice, A.; Ceci, M.; Loglisci, C.; Manco, G.; Masciari, E.; Ras, Z.), s. 132-147. Lecture Notes in Artificial Intelligence, 8399. ISBN 978-3-319-08406-0. ISSN 0302-9743.
[NFMCP 2013. International Workshop /2./. Prague (CZ), 27.09.2013]
R&D Projects: GA ČR GA13-17187S
Institutional support: RVO:67985807
Keywords : Copula * Hierarchical Archimedean copula * Copula estimation * Structure determination * Kendall’s correlation coefficient
Subject RIV: IN - Informatics, Computer Science
Permanent Link: http://hdl.handle.net/11104/0235398File Download Size Commentary Version Access a0430472.pdf 0 360.8 KB Publisher’s postprint require - 8.0365505 - ÚTIA 2012 RIV NL eng J - Journal Article
Durante, F. - Jaworski, P. - Mesiar, Radko
Invariant dependence structures and Archimedean copulas.
Statistics & Probability Letters. Roč. 81, č. 12 (2011), s. 1995-2003. ISSN 0167-7152. E-ISSN 1879-2103
R&D Projects: GA ČR GAP402/11/0378
Institutional research plan: CEZ:AV0Z10750506
Keywords : Archimedean copula * Tail dependence * Clayton model
Subject RIV: BA - General Mathematics
Impact factor: 0.498, year: 2011
http://library.utia.cas.cz/separaty/2011/E/mesiar-invariant dependence structures and archimedean copulas.pdf
Permanent Link: http://hdl.handle.net/11104/0200734 - 9.0315386 - ÚTIA 2009 RIV CZ eng J - Journal Article
Mesiar, Radko - Jágr, V. - Juraňová, M. - Komorníková, M.
Univariate conditioning of copulas.
[Jednorozměrné podmínkování kopulí.]
Kybernetika. Roč. 44, č. 6 (2008), s. 807-816. ISSN 0023-5954
R&D Projects: GA ČR GA402/08/0618
Institutional research plan: CEZ:AV0Z10750506
Keywords : copula * conditioning * Archimedean copula
Subject RIV: BA - General Mathematics
Impact factor: 0.281, year: 2008
http://library.utia.cas.cz/separaty/2008/E/mesiar-univariate conditioning of copulas.pdf
Permanent Link: http://hdl.handle.net/11104/0165600File Download Size Commentary Version Access 0315386.pdf 0 140.5 KB Publisher’s postprint open-access