Estimation of hierarchical Archimedean copulas as a shortest path problem

DOI10.1016/J.ECONLET.2016.10.034MaRDI QIDQ1668652zbMATH OpenOpenAlexFDO

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

zbMATH Keywords

copulasnetwork flow problem

Mathematics Subject Classification ID

Nonparametric estimation (62G05) Multivariate distribution of statistics (62H10) Characterization and structure theory for multivariate probability distributions; copulas (62H05)

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Cites work

• scientific article; zbMATH DE number 5641435 (Why is no real title available?)
• scientific article; zbMATH DE number 1134711 (Why is no real title available?)
• An algorithm for constructing high dimensional distributions from distributions of lower dimension
• Efficiently sampling nested Archimedean copulas
• Multivariate extreme‐value distributions with applications to environmental data
• On the structure and estimation of hierarchical Archimedean copulas
• Statistical Inference Procedures for Bivariate Archimedean Copulas

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

Describes a project that uses

Uses Software

• copula
• copula

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