Estimation of hierarchical Archimedean copulas as a shortest path problem
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Publication:1668652
DOI10.1016/J.ECONLET.2016.10.034zbMATH Open1490.62124OpenAlexW2403840131MaRDI QIDQ1668652FDOQ1668652
Authors: Peng Zhang 
Publication date: 29 August 2018
Published in: Economics Letters (Search for Journal in Brave)
Full work available at URL: http://hdl.handle.net/2123/14745
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Cites Work
- Title not available (Why is that?)
- Statistical Inference Procedures for Bivariate Archimedean Copulas
- Efficiently sampling nested Archimedean copulas
- On the structure and estimation of hierarchical Archimedean copulas
- Title not available (Why is that?)
- An algorithm for constructing high dimensional distributions from distributions of lower dimension
- Multivariate extreme‐value distributions with applications to environmental data
Cited In (4)
- Kendall's tau and agglomerative clustering for structure determination of hierarchical Archimedean copulas
- Composite likelihood estimation method for hierarchical Archimedean copulas defined with multivariate compound distributions
- Joint chance constrained shortest path problem with Copula theory
- Simulation algorithms for hierarchical Archimedean copulas beyond the completely monotone case
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