On structure, family and parameter estimation of hierarchical Archimedean copulas

Gorecki Jan; Hofert Marius; Holena Martin

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On structure, family and parameter estimation of hierarchical Archimedean copulas

机译：关于分级阿基米德系系的结构，族和参数估计

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摘要

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.

机译：到目前为止，分层的阿基米德科比斯（HAC）的结构确定和参数估计的研究主要集中在所有出现的阿基米德ean科比斯都属于同一阿基米德斯族的情况下。本工作解决了这个问题，并提出了一种新的方法来估算涉及不同阿基米德家族的HAC。它基于将拟合优度检验统计量直接用于HAC估计。用一种简单的算法总结了该方法，给出了理论依据，并通过一些实验说明了其适用性，其中包括对涉及多达五个不同阿基米德族的HAC的估计。

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来源
《Journal of statistical computation and simulation》 |2017年第18期|3261-3324|共64页
作者
Gorecki Jan; Hofert Marius; Holena Martin;
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作者单位

Silesian Univ Opava, SBA Karvina, Dept Informat, Univ Namesti 1934-3, Karvina 73340, Czech Republic;

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收录信息美国《科学引文索引》(SCI);
原文格式 PDF
正文语种 eng
中图分类
关键词
Hierarchical Archimedean copula; copula estimation; structure determination; goodness-of-fit;

机译：分层的阿基米德系系;系群估计;结构确定;拟合优度;

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1. Structure and estimation of Levy subordinated hierarchical Archimedean copulas (LSHAC): Theory and empirical tests [J] . Zhu Wenjun, Wang Chou-Wen, Tan Ken Seng Journal of banking & finance . 2016,第auga期

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2. An approach to structure determination and estimation of hierarchical Archimedean Copulas and its application to Bayesian classification [J] . Gorecki Jan, Hofert Marius, Holena Martin Journal of Intelligent Information Systems . 2016,第1期

机译：分级阿基米德Copulas结构确定和估计的方法及其在贝叶斯分类中的应用
3. On the structure and estimation of hierarchical Archimedean copulas [J] . Okhrin Ostap, Okhrin Yarema, Schmid Wolfgang Journal of Econometrics . 2013,第2期

机译：关于分级阿基米德系动词的结构和估计
4. Structure Determination and Estimation of Hierarchical Archimedean Copulas Based on Kendall Correlation Matrix [C] . Jan Gorecki, Martin Holena International workshop on new frontiers in mining complex patterns;European conference on machine learning and principles and practice of knowledge discovery in databases . 2014

机译：基于Kendall相关矩阵的分层阿基米德Copulas的结构确定和估计
5. Parameter estimation of Copula using maximum likelihood estimation (MLE) method [D] . Khadka, Mahesh S. 2008

机译：使用最大似然估计（MLE）方法估计Copula的参数
6. Simultaneous estimation of multiple quantitative trait loci and growth curve parameters through hierarchical Bayesian modeling [O] . M J Sillanpää, P Pikkuhookana, S Abrahamsson, 2012

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7. On structure, family and parameter estimation of hierarchical Archimedean copulas [O] . Górecki, Jan, Hofert, Marius, Holeňa, Martin 2016

机译：关于层次结构的结构，族和参数估计阿基米德copulas

On structure, family and parameter estimation of hierarchical Archimedean copulas

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