J 2017

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

GÓRECKI, Jan, Marius HOFERT and Martin HOLEŇA

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

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.