GÓRECKI, Jan, Marius HOFERT and Martin HOLEŇA. Kendall's tau and agglomerative clustering for structure determination of hierarchical Archimedean copulas. Dependence Modeling. 2017, vol. 5, No 1, p. 75-87. ISSN 2300-2298.
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Basic information
Original name Kendall's tau and agglomerative clustering for structure determination of hierarchical Archimedean copulas
Authors GÓRECKI, Jan (203 Czech Republic, belonging to the institution), Marius HOFERT (276 Germany) and Martin HOLEŇA (203 Czech Republic).
Edition Dependence Modeling, 2017, 2300-2298.
Other information
Original language English
Type of outcome Article in a journal
Field of Study 10100 1.1 Mathematics
Country of publisher Poland
Confidentiality degree is not subject to a state or trade secret
WWW URL
RIV identification code RIV/47813059:19520/17:00010816
Organization unit School of Business Administration in Karvina
Keywords in English structure determination; agglomerative clustering; Kendall's tau; Archimedean copula
Changed by Changed by: RNDr. Daniel Jakubík, učo 139797. Changed: 7/2/2020 10:57.
Abstract
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.
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