Composite likelihood estimation method for hierarchical Archimedean copulas defined with multivariate compound distributions
DOI10.1016/j.jmva.2019.03.008zbMath1419.62120OpenAlexW2940206243WikidataQ128062789 ScholiaQ128062789MaRDI QIDQ2001086
Simon-Pierre Gadoury, Christian Y. Robert, Hélène Cossette, Étienne Marceau
Publication date: 2 July 2019
Published in: Journal of Multivariate Analysis (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.jmva.2019.03.008
composite likelihood estimationhierarchical Archimedean copulasstatistical collapsing strategytree structure determination
Classification and discrimination; cluster analysis (statistical aspects) (62H30) Characterization and structure theory for multivariate probability distributions; copulas (62H05) Probability distributions: general theory (60E05)
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