On structure,family and parameter estimation of hierarchical Archimedean copulas |
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Authors: | Jan Górecki Marius Hofert Martin Holeňa |
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Affiliation: | 1. Department of Informatics, SBA in Karviná, Silesian University in Opava, Karviná, Czech Republic;2. Department of Statistics and Actuarial Science, University of Waterloo, Waterloo, ON, Canada;3. Institute of Computer Science, Academy of Sciences of the Czech Republic, Praha, Czech Republic |
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Abstract: | Research on structure determination and parameter estimation of hierarchical Archimedean copulas (HACs) has so far mostly focused on the case in which all appearing Archimedean copulas belong to the same Archimedean family. The present work addresses this issue and proposes a new approach for estimating HACs that involve different Archimedean families. It is based on employing goodness-of-fit test statistics directly into HAC estimation. The approach is summarized in a simple algorithm, its theoretical justification is given and its applicability is illustrated by several experiments, which include estimation of HACs involving up to five different Archimedean families. |
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Keywords: | Hierarchical Archimedean copula copula estimation structure determination goodness-of-fit |
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