Detection of block-exchangeable structure in large-scale correlation matrices

DOI10.1016/j.jmva.2018.10.009zbMath1411.62038arXiv1706.05940OpenAlexW2781104203WikidataQ128999861 ScholiaQ128999861MaRDI QIDQ1755136

Thierry Duchesne, Samuel Perreault, Johanna G. Nešlehová

Publication date: 4 January 2019

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

Full work available at URL: https://arxiv.org/abs/1706.05940

zbMATH Keywords

copulaKendall's taushrinkageagglomerative clusteringconstrained maximum likelihoodparameter clustering

Mathematics Subject Classification ID

Classification and discrimination; cluster analysis (statistical aspects) (62H30) Applications of statistics to actuarial sciences and financial mathematics (62P05) Parametric inference under constraints (62F30) Characterization and structure theory of statistical distributions (62E10)

Related Items

Hierarchical copulas with Archimedean blocks and asymmetric between-block pairs, Dissimilarity functions for rank-invariant hierarchical clustering of continuous variables, Uncovering block structures in large rectangular matrices, Exchangeable FGM copulas, Hypothesis Tests for Structured Rank Correlation Matrices, Copula modeling from Abe Sklar to the present day, Composite likelihood estimation method for hierarchical Archimedean copulas defined with multivariate compound distributions

Uses Software

• QRM

Cites Work

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