On the estimation of nested Archimedean copulas: a theoretical and an experimental comparison

DOI10.1007/s00180-017-0743-1zbMath1417.62131OpenAlexW2469469722MaRDI QIDQ1643026

Nathan Uyttendaele

Publication date: 18 June 2018

Published in: Computational Statistics (Search for Journal in Brave)

Full work available at URL: https://dial.uclouvain.be/pr/boreal/fr/object/boreal%3A171500/datastream/PDF_01/view

zbMATH Keywords

estimationhierarchical clusteringKendall's taurooted treephylogeneticshierarchical Archimedean copulasstructure determination

Mathematics Subject Classification ID

Computational methods for problems pertaining to statistics (62-08) Characterization and structure theory for multivariate probability distributions; copulas (62H05) Exact distribution theory in statistics (62E15) Probability distributions: general theory (60E05)

Related Items (6)

Kendall's tau and agglomerative clustering for structure determination of hierarchical Archimedean copulas ⋮ Simulation algorithms for hierarchical Archimedean copulas beyond the completely monotone case ⋮ Composite pseudo-likelihood estimation for pair-tractable copulas such as Archimedean, Archimax and related hierarchical extensions ⋮ On structure, family and parameter estimation of hierarchical Archimedean copulas ⋮ Composite likelihood estimation method for hierarchical Archimedean copulas defined with multivariate compound distributions ⋮ Hierarchical Archimedean copulas through multivariate compound distributions

Uses Software

• nacopula
• phytools
• HAC
• SuperFine

Cites Work

• Unnamed Item
• Densities of nested Archimedean copulas
• Efficiently sampling nested Archimedean copulas
• On the structure and estimation of hierarchical Archimedean copulas
• Multivariate Archimedean copulas, \(d\)-monotone functions and \(\ell _{1}\)-norm symmetric distributions
• On the construction of nested Archimedean copulas for \(d\)-monotone generators
• Nonparametric estimation of the tree structure of a nested Archimedean copula
• Phylogenetic supertrees. Combining information to reveal the tree of life
• Reconstruction of rooted trees from subtrees
• Sampling nested Archimedean copulas
• Properties of hierarchical Archimedean copulas
• A Non-Parametric Test of Independence

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