Penalized estimation of hierarchical Archimedean copula

DOI10.1016/J.JMVA.2023.105274OpenAlexW4389109962MaRDI QIDQ6200950

Ostap Okhrin, Alexander Ristig

Publication date: 25 March 2024

Published in: Journal of Multivariate Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jmva.2023.105274

zbMATH Keywords

maximum likelihood estimationhierarchical Archimedean copulastage-wise estimation

Mathematics Subject Classification ID

Density estimation (62G07) Estimation in multivariate analysis (62H12) Multivariate analysis (62Hxx)

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