Detailed Information on Publication Record
2017
Kendall's tau and agglomerative clustering for structure determination of hierarchical Archimedean copulas
GÓRECKI, Jan, Marius HOFERT and Martin HOLEŇABasic 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
Language
English
Type of outcome
Článek v odborném periodiku
Field of Study
10100 1.1 Mathematics
Country of publisher
Poland
Confidentiality degree
není předmětem státního či obchodního tajemství
References:
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
Změněno: 7/2/2020 10:57, RNDr. Daniel Jakubík
Abstract
V originále
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.