On the structure and estimation of hierarchical Archimedean copulas

DOI10.1016/j.jeconom.2012.12.001zbMath1443.62137OpenAlexW1978267962MaRDI QIDQ528182

Ostap Okhrin, Yarema Okhrin, Wolfgang Schmid

Publication date: 12 May 2017

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: http://www.sciencedirect.com/science/article/pii/S0304407612002667

zbMATH Keywords

density estimationasymptotic theorymultivariate distributionhierarchical Archimedean copula

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Estimation in multivariate analysis (62H12) Characterization and structure theory for multivariate probability distributions; copulas (62H05)

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