On Structure, Family and Parameter Estimation of Hierarchical Archimedean Copulas

Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F67985807%3A_____%2F17%3A00478633" target="_blank" >RIV/67985807:_____/17:00478633 - isvavai.cz</a>
Alternative codes found
RIV/47813059:19520/17:00010847
Result on the web
<a href="http://dx.doi.org/10.1080/00949655.2017.1365148" target="_blank" >http://dx.doi.org/10.1080/00949655.2017.1365148</a>
DOI - Digital Object Identifier
<a href="http://dx.doi.org/10.1080/00949655.2017.1365148" target="_blank" >10.1080/00949655.2017.1365148</a>

Result language
angličtina
Original language name
On Structure, Family and Parameter Estimation of Hierarchical Archimedean Copulas
Original language description
Research on structure determination and parameter estimation of hierarchical Archimedean copulas (HACs) has so far mostly focused on the case in which all appearing Archimedean copulas belong to the same Archimedean family. The present work addresses this issue and proposes a new approach for estimating HACs that involve different Archimedean families. It is based on employing goodness-of-fit test statistics directly into HAC estimation. The approach is summarized in a simple algorithm, its theoretical justification is given and its applicability is illustrated by several experiments, which include estimation of HACs involving up to five different Archimedean families.
Czech name
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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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