Original title: On the Consistency of an Estimator for Hierarchical Archimedean Copulas
Authors: Górecki, J. ; Hofert, M. ; Holeňa, Martin
Document type: Papers
Conference/Event: MME 2014. International Conference Mathematical Methods in Economics /32./, Olomouc (CZ), 2014-09-10 / 2014-09-12
Year: 2014
Language: eng
Abstract: The paper addresses an estimation procedure for hierarchical Archimedean copulas, which has been proposed in the literature. It is shown here that this estimation is not consistent in general. Furthermore, a correction is proposed, which leads to a consistent estimator.
Keywords: consistency; hierarchical Archimedean copula; Kendall distribution function; parameter estimation; structure determination
Project no.: GA13-17187S (CEP), SGS/21/2014 (CEP)
Funding provider: GA ČR, Slezská univerzita v Opavě
Host item entry: Proceedings of 32nd International Conference Mathematical Methods in Economics MME 2014, ISBN 978-80-244-4209-9

Institution: Institute of Computer Science AS ČR (web)
Document availability information: Fulltext is available on demand via the digital repository of the Academy of Sciences.
Original record: http://hdl.handle.net/11104/0248436

Permalink: http://www.nusl.cz/ntk/nusl-189249


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Research > Institutes ASCR > Institute of Computer Science
Conference materials > Papers