Kendall’s tau and agglomerative clustering for structure determination of hierarchical Archimedean copulas

Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F67985807%3A_____%2F17%3A00477796" target="_blank" >RIV/67985807:_____/17:00477796 - isvavai.cz</a>
Alternative codes found
RIV/47813059:19520/17:00010816
Result on the web
<a href="http://dx.doi.org/10.1515/demo-2017-0005" target="_blank" >http://dx.doi.org/10.1515/demo-2017-0005</a>
DOI - Digital Object Identifier
<a href="http://dx.doi.org/10.1515/demo-2017-0005" target="_blank" >10.1515/demo-2017-0005</a>

Result language
angličtina
Original language name
Kendall’s tau and agglomerative clustering for structure determination of hierarchical Archimedean copulas
Original language description
Several successful approaches to structure determination of hierarchical Archimedean copulas (HACs) proposed in the literature rely on agglomerative clustering and Kendall’s correlation coefficient. However, there has not been presented any theoretical proof justifying such approaches. This work fills this gap and introduces a theorem showing that, given the matrix of the pairwise Kendall correlation coefficients corresponding to a HAC, its structure can be recovered by an agglomerative clustering technique.
Czech name
—
Czech description
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Type
J<sub>imp</sub> - Article in a specialist periodical, which is included in the Web of Science database
CEP classification
—
OECD FORD branch
10103 - Statistics and probability

Project
<a href="/en/project/GA17-01251S" target="_blank" >GA17-01251S: Metalearning for Extraction of Rules with Numerical Consequents</a><br>
Continuities
P - Projekt vyzkumu a vyvoje financovany z verejnych zdroju (s odkazem do CEP)

Publication year
2017
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

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