Original title: An Alternative Approach to the Structure Determination of Hierarchical Archimedean Copulas
Authors: Górecki, J. ; Holeňa, Martin
Document type: Papers
Conference/Event: MME 2013. International Conference on Mathematical Methods in Economics 2013 /31./, Jihlava (CZ), 2013-09-11 / 2013-09-13
Year: 2013
Language: eng
Abstract: Copulas offer very a flexible tool for a stochastic dependence modeling. One of the most popular classes of copulas is the class of hierarchical Archimedean copulas, which gained its popularity due to the fact that the models from the class are able to model the stochastic dependencies conveniently even in high dimensions. One critical issue when estimating a hierarchical Archimedean copula is to correctly determine its structure. The paper describes an approach to the problem of the structure determination of a hierarchical Archimedean copula, which is based on the close relationship of the copula structure and the values of measure of concordance computed on all its bivariate margins. The presented approach is conveniently summarized as a simple algorithm.
Keywords: bivariate margins; hierarchical Archimedean copula; measure of concordance; nesting condition; structure determination
Host item entry: Proceedings of the 31st International Conference Mathematical Methods in Economics 2013, ISBN 978-80-87035-76-4

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/11104/0256575

Permalink: http://www.nusl.cz/ntk/nusl-202371


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