Nonparametric estimation of the tree structure of a nested Archimedean copula

DOI10.1016/J.CSDA.2013.10.028zbMath1506.62163arXiv1304.1384OpenAlexW2117299503MaRDI QIDQ1623404

Nathan Uyttendaele, Johan Segers

Publication date: 23 November 2018

Published in: Computational Statistics and Data Analysis (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1304.1384

zbMATH Keywords

fanArchimedean copularooted treenonparametric inferencedependencesubtreeKendall distributionhierarchical Archimedean copulatriplenested Archimedean copula

Mathematics Subject Classification ID

Computational methods for problems pertaining to statistics (62-08) Nonparametric estimation (62G05) Characterization and structure theory for multivariate probability distributions; copulas (62H05)

Related Items (12)

Kendall's tau and agglomerative clustering for structure determination of hierarchical Archimedean copulas ⋮ Outer power transformations of hierarchical Archimedean copulas: construction, sampling and estimation ⋮ On the estimation of nested Archimedean copulas: a theoretical and an experimental comparison ⋮ Simulation algorithms for hierarchical Archimedean copulas beyond the completely monotone case ⋮ On structure, family and parameter estimation of hierarchical Archimedean copulas ⋮ Hypothesis Tests for Structured Rank Correlation Matrices ⋮ Penalized estimation of hierarchical Archimedean copula ⋮ Copula modeling from Abe Sklar to the present day ⋮ Composite likelihood estimation method for hierarchical Archimedean copulas defined with multivariate compound distributions ⋮ Hierarchical Archimedean copulas through multivariate compound distributions ⋮ Bayesian Model Averaging Over Tree-based Dependence Structures for Multivariate Extremes ⋮ The finite sample properties of sparse M-estimators with pseudo-observations

Uses Software

• nacopula
• HAC

Cites Work

• Unnamed Item
• Densities of nested Archimedean copulas
• Efficiently sampling nested Archimedean copulas
• On the structure and estimation of hierarchical Archimedean copulas
• Modeling defaults with nested Archimedean copulas
• Multivariate Archimedean copulas, \(d\)-monotone functions and \(\ell _{1}\)-norm symmetric distributions
• Constructing hierarchical archimedean copulas with Lévy subordinators
• Sampling Archimedean copulas
• Kendall distribution functions.
• Inference in multivariate Archimedean copula models
• On Kendall's process
• Reconstruction of rooted trees from subtrees
• Statistical Inference Procedures for Bivariate Archimedean Copulas
• Sampling nested Archimedean copulas
• Properties of hierarchical Archimedean copulas
• A stochastic representation and sampling algorithm for nested Archimedean copulas
• On the multivariate probability integral transformation

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