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

Kód výsledku v IS VaVaI

<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F47813059%3A19520%2F13%3A%230002298" target="_blank" >RIV/47813059:19520/13:#0002298 - isvavai.cz</a>

Výsledek na webu

—

DOI - Digital Object Identifier

—

Jazyk výsledku

angličtina

Název v původním jazyce

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

Popis výsledku v původním jazyce

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.

Název v anglickém jazyce

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

Popis výsledku anglicky

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.

Druh

D - Stať ve sborníku

CEP obor

IN - Informatika

OECD FORD obor

—

Projekt

—

Návaznosti

I - Institucionalni podpora na dlouhodoby koncepcni rozvoj vyzkumne organizace

Rok uplatnění

2013

Kód důvěrnosti údajů

S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

Název statě ve sborníku

Proceedings of the 2nd Workshop on New Frontiers in Mining Complex Patterns (NFMCP 2013)

ISBN

978-3-642-37381-7

ISSN

—

e-ISSN

—

Počet stran výsledku

12

Strana od-do

—

Název nakladatele

Neuvedeno

Místo vydání

Praha

Místo konání akce

Praha

Datum konání akce

23. 9. 2013

Typ akce podle státní příslušnosti

EUR - Evropská akce

Kód UT WoS článku

—