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3 679 (0,124s) •

Result

Composite pseudo-likelihood estimation for pair-tractable copulas such as Archimedean, Archimax and related hierarchical extensions

) for hierarchical Archimedean copulas. The simulation results indicate that the PPLE has a bias is available. For hierarchical Archimedean and hierarchical Archimax copulas for which tra...

Computer sciences, information science, bioinformathics (hardware development to be 2.2, social aspect to be 5.8)

  • 2023
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  • Jimp
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  • Link
Result

An experimental comparison of Value at Risk estimates based on elliptical and hierarchical Archimedean copulas

elliptical and hierarchical Archimedean copulas, where the latter is based on a recent approach to estimation of hierarchical Archimedean copulas based on the Kendall the estimates based on h...

IN - Informatika

  • 2015
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  • D
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  • Link
Result

Hierarchical Archimedean Copulas

This book offers a thorough understanding of Hierarchical Archimedean Copulas (HACs) and their practical applications. It covers the basics of copulas, explores the Archimedean family, and delves into the ...

Computer sciences, information science, bioinformathics (hardware development to be 2.2, social aspect to be 5.8)

  • 2024
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  • B
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Result

On the consistency of an estimator for hierarchical Archimedean copulas

The paper addresses an estimation procedure for hierarchical Archimedean copulas, which has been proposed in the literature. It is shown here that this estimation is not consistent in general. Furthermore, a correction is p...

IN - Informatika

  • 2014
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Result

On Structure, Family and Parameter Estimation of Hierarchical Archimedean Copulas

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 <...

Statistics and probability

  • 2017
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  • Jimp
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  • Link
Result

Outer power transformations of hierarchical Archimedean copulas: Construction, sampling and estimation

hierarchical Archimedean copula models are demonstrated in a risk management application exchangeable and hierarchical Archimedean copula models, OP transformations provide Archimedean <...

Computer sciences, information science, bioinformathics (hardware development to be 2.2, social aspect to be 5.8)

  • 2021
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  • Jimp
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  • Link
Result

Using Copulas in Data Mining Based on the Observational Calculus

of continuous variables by means of hierarchical Archimedean copulas. To this end, the existing theoryof hierarchical Archimedean copulas has been slightly extended a hierarchical Ar...

IN - Informatika

  • 2015
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  • Jx
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  • Link
Result

Application of Copulas to Data Mining Based on Observational Logic

to describe the data by a hierarchical Archimedean copula with given properties. To this end, basic concepts pertaining to copulas, Archimedean copulas and hierarchical Archimedean

IN - Informatika

  • 2013
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Result

An Alternative Approach to the Structure Determination of Hierarchical Archimedean Copulas

Copulas offer very a flexible tool for a stochastic dependence modeling. One of the most popular classes of copulas is the class of hierar- chical Archimedean copulas critical issue when estimating a hierar- chical...

IN - Informatika

  • 2013
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  • D
Result

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

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 meth...

IN - Informatika

  • 2013
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