Kendall's tau and agglomerative clustering for structure determination of hierarchical Archimedean copulas

DOI10.1515/demo-2017-0005zbMath1404.62054OpenAlexW2607097375MaRDI QIDQ1616350

Jan Górecki, Marius Hofert, Martin Holeňa

Publication date: 1 November 2018

Published in: Dependence Modeling (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1515/demo-2017-0005

zbMATH Keywords

Kendall's tauArchimedean copulaagglomerative clusteringstructure determination

Mathematics Subject Classification ID

Classification and discrimination; cluster analysis (statistical aspects) (62H30) Characterization and structure theory for multivariate probability distributions; copulas (62H05)

Related Items (7)

Outer power transformations of hierarchical Archimedean copulas: construction, sampling and estimation ⋮ Dissimilarity functions for rank-invariant hierarchical clustering of continuous variables ⋮ Simulation algorithms for hierarchical Archimedean copulas beyond the completely monotone case ⋮ On structure, family and parameter estimation of hierarchical Archimedean copulas ⋮ Hypothesis Tests for Structured Rank Correlation Matrices ⋮ Detection of block-exchangeable structure in large-scale correlation matrices ⋮ Composite likelihood estimation method for hierarchical Archimedean copulas defined with multivariate compound distributions

Uses Software

• HACopula

Cites Work

• Unnamed Item
• Efficiently sampling nested Archimedean copulas
• On the structure and estimation of hierarchical Archimedean copulas
• An introduction to copulas.
• Multivariate Archimedean copulas, \(d\)-monotone functions and \(\ell _{1}\)-norm symmetric distributions
• On the construction of nested Archimedean copulas for \(d\)-monotone generators
• A probabilistic interpretation of complete monotonicity
• Nonparametric estimation of the tree structure of a nested Archimedean copula
• On the estimation of nested Archimedean copulas: a theoretical and an experimental comparison
• Estimation of hierarchical Archimedean copulas as a shortest path problem
• Sampling nested Archimedean copulas

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