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

DOI10.1016/j.jmva.2019.03.008zbMath1419.62120OpenAlexW2940206243WikidataQ128062789 ScholiaQ128062789MaRDI QIDQ2001086

Simon-Pierre Gadoury, Christian Y. Robert, Hélène Cossette, Étienne Marceau

Publication date: 2 July 2019

Published in: Journal of Multivariate Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jmva.2019.03.008

zbMATH Keywords

composite likelihood estimationhierarchical Archimedean copulasstatistical collapsing strategytree structure determination

Mathematics Subject Classification ID

Classification and discrimination; cluster analysis (statistical aspects) (62H30) Characterization and structure theory for multivariate probability distributions; copulas (62H05) Probability distributions: general theory (60E05)

Related Items

Hierarchical copulas with Archimedean blocks and asymmetric between-block pairs ⋮ Outer power transformations of hierarchical Archimedean copulas: construction, sampling and estimation ⋮ Composite pseudo-likelihood estimation for pair-tractable copulas such as Archimedean, Archimax and related hierarchical extensions ⋮ Hypothesis Tests for Structured Rank Correlation Matrices ⋮ Editorial for the special issue on dependence models ⋮ Extremes and regular variation

Uses Software

• ElemStatLearn
• ISLR
• clusfind

Cites Work

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