2017
On structure, family and parameter estimation of hierarchical Archimedean copulas
GÓRECKI, Jan; Marius HOFERT and Martin HOLEŇABasic 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
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
References:
Impact factor
Impact factor: 0.869
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: 7/2/2020 10:57, RNDr. Daniel Jakubík
Abstract
In the original language
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.