Kendall's tau and agglomerative clustering for structure determination of hierarchical Archimedean copulas
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Publication:1616350
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
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
Cites Work
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