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National Repository of Grey Literature 1 records found  Search took 0.00 seconds. 
On the Consistency of an Estimator for Hierarchical Archimedean Copulas
 Górecki, J. ; Hofert, M. ; Holeňa, Martin
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.
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