An Alternative Approach to the Structure Determination of Hierarchical Archimedean Copulas

Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F47813059%3A19520%2F13%3A%230002219" target="_blank" >RIV/47813059:19520/13:#0002219 - isvavai.cz</a>
Alternative codes found
RIV/67985807:_____/13:00455988
Result on the web
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DOI - Digital Object Identifier
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Result language
angličtina
Original language name
An Alternative Approach to the Structure Determination of Hierarchical Archimedean Copulas
Original language description
Copulas offer very a flexible tool for a stochastic dependence modeling. One of the most popular classes of copulas is the class of hierar- chical Archimedean copulas, which gained its popularity due to the fact that the models from the class are able tomodel the stochastic dependencies con- veniently even in high dimensions. One critical issue when estimating a hierar- chical Archimedean copula is to correctly determine its structure. The paper describes an approach to the problem of the structure determination of a hi- erarchical Archimedean copula, which is based on the close relationship of the copula structure and the values of measure of concordance computed on all its bivariate margins. The presented approach is conveniently summarized as a simple algorithm.
Czech name
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Czech description
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Publication year
2013
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

Article name in the collection
31st International Conference on Mathematical Methods in Economics 2013
ISBN
978-80-87035-76-4
ISSN
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e-ISSN
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Number of pages
6
Pages from-to
201-206
Publisher name
College of Polytechnics Jihlava
Place of publication
Jihlava
Event location
Jihlava
Event date
Sep 11, 2013
Type of event by nationality
WRD - Celosvětová akce
UT code for WoS article
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