Kendall's tau and agglomerative clustering for structure determination of hierarchical Archimedean ...

@article{35874,
   author = {Górecki, Jan and Hofert, Marius and Holeňa, Martin},
   article_number = {1},
   keywords = {structure determination; agglomerative clustering; Kendall's tau; Archimedean copula},
   language = {eng},
   issn = {2300-2298},
   journal = {Dependence Modeling},
   title = {Kendall's tau and agglomerative clustering for structure determination of hierarchical Archimedean copulas},
   url = {https://www.degruyter.com/view/j/demo.2017.5.issue-1/demo-2017-0005/demo-2017-0005.xml?format=INT},
   volume = {5},
   year = {2017}
}

TY  - JOUR
ID  - 35874
AU  - Górecki, Jan - Hofert, Marius - Holeňa, Martin
PY  - 2017
TI  - Kendall's tau and agglomerative clustering for structure determination of hierarchical Archimedean copulas
JF  - Dependence Modeling
VL  - 5
IS  - 1
SP  - 75-87
EP  - 75-87
SN  - 23002298
KW  - structure determination
KW  - agglomerative clustering
KW  - Kendall's tau
KW  - Archimedean copula
UR  - https://www.degruyter.com/view/j/demo.2017.5.issue-1/demo-2017-0005/demo-2017-0005.xml?format=INT
N2  - Several successful approaches to structure determination of hierarchical Archimedean copulas (HACs) proposed in the literature rely on agglomerative clustering and Kendall's correlation coefficient. However, there has not been presented any theoretical proof justifying such approaches. This work fills this gap and introduces a theorem showing that, given the matrix of the pairwise Kendall correlation coefficients corresponding to a HAC, its structure can be recovered by an agglomerative clustering technique.
ER  - 

GÓRECKI, Jan, Marius HOFERT a Martin HOLEŇA. Kendall's tau and agglomerative clustering for structure determination of hierarchical Archimedean copulas. \textit{Dependence Modeling}. roč.~5, č.~1, s.~75-87. ISSN~2300-2298. 2017.