Kendall’s tau and agglomerative clustering for structure determination of hierarchical Archimedean copulas
Result 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.
Keywords
structure determinationagglomerative clusteringKendall’s tauArchimedean copula
The result's identifiers
Result code in IS VaVaI
Alternative codes found
RIV/47813059:19520/17:00010816
Result on the web
DOI - Digital Object Identifier
Alternative languages
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
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Czech description
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Classification
Type
Jimp - Article in a specialist periodical, which is included in the Web of Science database
CEP classification
—
OECD FORD branch
10103 - Statistics and probability
Result continuities
Project
GA17-01251S: Metalearning for Extraction of Rules with Numerical Consequents
Continuities
P - Projekt vyzkumu a vyvoje financovany z verejnych zdroju (s odkazem do CEP)
Others
Publication year
2017
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů
Data specific for result type
Name of the periodical
Dependence Modeling
ISSN
2300-2298
e-ISSN
—
Volume of the periodical
5
Issue of the periodical within the volume
1
Country of publishing house
PL - POLAND
Number of pages
13
Pages from-to
75-87
UT code for WoS article
000425045300005
EID of the result in the Scopus database
2-s2.0-85029729711
Result type
Jimp - Article in a specialist periodical, which is included in the Web of Science database
OECD FORD
Statistics and probability
Year of implementation
2017