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

Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F47813059%3A19520%2F14%3A%230002570" target="_blank" >RIV/47813059:19520/14:#0002570 - isvavai.cz</a>
Result on the web
<a href="http://link.springer.com/chapter/10.1007%2F978-3-319-08407-7_9#" target="_blank" >http://link.springer.com/chapter/10.1007%2F978-3-319-08407-7_9#</a>
DOI - Digital Object Identifier
<a href="http://dx.doi.org/10.1007/978-3-319-08407-7_9" target="_blank" >10.1007/978-3-319-08407-7_9</a>

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
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Czech description
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Project
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Continuities
I - Institucionalni podpora na dlouhodoby koncepcni rozvoj vyzkumne organizace

Publication year
2014
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

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