GÓRECKI, Jan, Marius HOFERT and Martin HOLEŇA. On structure, family and parameter estimation of hierarchical Archimedean copulas. Journal of Statistical Computation and Simulation. vol. 87, No 17, p. 3261-3324. ISSN 0094-9655. 2017.
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Basic information
Original name On structure, family and parameter estimation of hierarchical Archimedean copulas
Authors GÓRECKI, Jan (203 Czech Republic, belonging to the institution), Marius HOFERT (124 Canada) and Martin HOLEŇA (203 Czech Republic).
Edition Journal of Statistical Computation and Simulation, 2017, 0094-9655.
Other information
Original language English
Type of outcome Article in a journal
Field of Study 10201 Computer sciences, information science, bioinformatics
Country of publisher United Kingdom of Great Britain and Northern Ireland
Confidentiality degree is not subject to a state or trade secret
WWW URL
RIV identification code RIV/47813059:19520/17:00010847
Organization unit School of Business Administration in Karvina
UT WoS 000417048000002
Keywords in English copula estimation; goodness-of-fit; hierarchical Archimedean copula; structure determination
Changed by Changed by: RNDr. Daniel Jakubík, učo 139797. Changed: 7/2/2020 10:57.
Abstract
Research on structure determination and parameter estimation of hierarchical Archimedean copulas (HACs) has so far mostly focused on the case in which all appearing Archimedean copulas belong to the same Archimedean family. The present work addresses this issue and proposes a new approach for estimating HACs that involve different Archimedean families. It is based on employing goodness-of-fit test statistics directly into HAC estimation. The approach is summarized in a simple algorithm, its theoretical justification is given and its applicability is illustrated by several experiments, which include estimation of HACs involving up to five different Archimedean families.
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