GÓRECKI, Jan, Marius HOFERT and Martin HOLEŇA. On structure, family and parameter estimation of hierarchical Archimedean copulas. Journal of Statistical Computation and Simulation. 2017, vol. 87, No 17, p. 3261-3324. ISSN 0094-9655. |
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@article{35897, author = {Górecki, Jan and Hofert, Marius and Holeňa, Martin}, article_number = {17}, keywords = {copula estimation; goodness-of-fit; hierarchical Archimedean copula; structure determination}, language = {eng}, issn = {0094-9655}, journal = {Journal of Statistical Computation and Simulation}, title = {On structure, family and parameter estimation of hierarchical Archimedean copulas}, url = {http://www.tandfonline.com/doi/abs/10.1080/00949655.2017.1365148?journalCode=gscs20}, volume = {87}, year = {2017} }
TY - JOUR ID - 35897 AU - Górecki, Jan - Hofert, Marius - Holeňa, Martin PY - 2017 TI - On structure, family and parameter estimation of hierarchical Archimedean copulas JF - Journal of Statistical Computation and Simulation VL - 87 IS - 17 SP - 3261-3324 EP - 3261-3324 SN - 00949655 KW - copula estimation KW - goodness-of-fit KW - hierarchical Archimedean copula KW - structure determination UR - http://www.tandfonline.com/doi/abs/10.1080/00949655.2017.1365148?journalCode=gscs20 N2 - 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. ER -
GÓRECKI, Jan, Marius HOFERT and Martin HOLEŇA. On structure, family and parameter estimation of hierarchical Archimedean copulas. \textit{Journal of Statistical Computation and Simulation}. 2017, vol.~87, No~17, p.~3261-3324. ISSN~0094-9655.
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