Estimation of hierarchical Archimedean copulas as a shortest path problem

DOI10.1016/j.econlet.2016.10.034zbMath1490.62124OpenAlexW2403840131MaRDI QIDQ1668652

Peng Zhang

Publication date: 29 August 2018

Published in: Economics Letters (Search for Journal in Brave)

Full work available at URL: http://hdl.handle.net/2123/14745

zbMATH Keywords

copulasnetwork flow problem

Mathematics Subject Classification ID

Multivariate distribution of statistics (62H10) Nonparametric estimation (62G05) Characterization and structure theory for multivariate probability distributions; copulas (62H05)

Related Items (3)

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 likelihood estimation method for hierarchical Archimedean copulas defined with multivariate compound distributions

Uses Software

• copula
• copula

Cites Work

• Unnamed Item
• Unnamed Item
• An algorithm for constructing high dimensional distributions from distributions of lower dimension
• Efficiently sampling nested Archimedean copulas
• On the structure and estimation of hierarchical Archimedean copulas
• Statistical Inference Procedures for Bivariate Archimedean Copulas
• Multivariate extreme‐value distributions with applications to environmental data

This page was built for publication: Estimation of hierarchical Archimedean copulas as a shortest path problem