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Structure Determination and Estimation of Hierarchical Archimedean Copulas Based on Kendall Correlation Matrix

The result's identifiers

  • Result code in IS VaVaI

    <a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F47813059%3A19520%2F13%3A%230002298" target="_blank" >RIV/47813059:19520/13:#0002298 - isvavai.cz</a>

  • Result on the web

  • DOI - Digital Object Identifier

Alternative languages

  • Result language

    angličtina

  • Original language name

    Structure Determination and Estimation of Hierarchical Archimedean Copulas Based on Kendall Correlation Matrix

  • Original language description

    An estimation method for the copula of a continuous multivariate distribution is proposed. A popular class of copulas, namely the class of hierarchical Archimedean copulas, is considered. The proposed method is based on the close relationship of the copula structure and the values of Kendall's tau computed on all its bivariate margins. A generalized measure based on Kendall's tau adapted for purposes of the estimation is introduced. A simple algorithm implementing the method is provided and its effectiveness is shown in several experiments including its comparison to other available methods. The results show that the proposed method can be regarded as a suitable alternative to existing methods in the terms of goodness of fit and computational efficiency.

  • Czech name

  • Czech description

Classification

  • Type

    D - Article in proceedings

  • CEP classification

    IN - Informatics

  • OECD FORD branch

Result continuities

  • Project

  • Continuities

    I - Institucionalni podpora na dlouhodoby koncepcni rozvoj vyzkumne organizace

Others

  • Publication year

    2013

  • Confidentiality

    S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

Data specific for result type

  • Article name in the collection

    Proceedings of the 2nd Workshop on New Frontiers in Mining Complex Patterns (NFMCP 2013)

  • ISBN

    978-3-642-37381-7

  • ISSN

  • e-ISSN

  • Number of pages

    12

  • Pages from-to

  • Publisher name

    Neuvedeno

  • Place of publication

    Praha

  • Event location

    Praha

  • Event date

    Sep 23, 2013

  • Type of event by nationality

    EUR - Evropská akce

  • UT code for WoS article